They aren't actually that *hard* to keep in captivity per se - they just require very methodical husbandry which in turn requires the investment of time and money, something which a lot of collections are loathe to invest; as such those collections which are capable of keeping pangolins tend to be unwilling to risk failure by trying.
Moreover, the more failures and wastage that take place as a result of the private trade, the more likely that legitimate collections will believe - however falsely - that pangolins cannot be kept in captivity. This is a pity, I feel, as the situation for certain pangolin taxa is now precarious enough that I believe that even if it is a costly long-term investment, collections now need to start seriously considering keeping pangolins in captivity, using the husbandry knowledge gained at collections such as Taipei and Leipzig.