“Where there is Christ Jesus, there is the Catholic Church.” (St. Ignatius of Antioch, AD 110)
In answering the rhetorical question of my title, I am wondering where to begin first. It's like asking a happily married man (as I am), “why do you love your wife?” There are many reasons why one with an understanding of the Catholic Church and her teachings would never consider leaving her.
In the first place, “sin in the Church” (or in a Protestant denomination, from the opposite perspective) is never a sufficient reason to leave any Christian communion. I refer to the presence of sin among and in practitioners of a particular communion.
The reason one ought to choose one particular version of Christianity is because it teaches true theology (including true moral teaching): as best can be ascertained, in terms of the nature of the Bible and historic Christianity; that is, what has been taught from the time of the early Church, and has been passed down.
For example, the first issue I changed my own mind on, in my journey from evangelicalism to Catholicism, was contraception, which I discovered was opposed by all Christians, until 1930, when the Anglicans first changed their view (and even then, only partially).
Having come to realize that, and in my strong desire (back in 1990, as a zealous evangelical apologist and evangelist) to fully follow biblical and historic Christian teaching, I could hardly become a Protestant again, because virtually no Protestants understand that it is a grave sin. Even the Eastern Orthodox have (for the most part) caved on the issue.
This is one example of many of what we could describe as “calling evil good.” That is what I cannot in good conscience participate in. With the Catholic sex scandal, on the other hand, it is a case of heinous sin tragically taking hold among a certain tiny percentage of Catholic clergy. No Catholic is calling evil good with regard to that. We all heartily condemn the terrible sins.
We don't teach that the sins are okay, as scores of Protestant denominations (and just about all the mainline ones) do on other sex-related issues such as abortion, divorce, fornication, and same-sex “marriage”: to name a few things. I would contend that the Catholic Church (and she alone) holds very firmly to biblical and ancient Christian teaching on all these issues.
This is a major reason why I am a Catholic. It's not because I think Protestantism (on the whole) is a “bad” thing (or because Catholic persons are supposedly far superior morally to other Christians: what a joke!). I believe that Protestantism is a very good thing (at least the evangelical and more traditional portions of it), but that Catholicism is the best thing, ecclesiologically speaking.
And of course, that doesn't even get to a host of theological issues. Protestants hold to erroneous teachings with regard to the Eucharist, sola Scriptura, sola fide, apostolic succession, tradition, Mariology, penance, absolution, five of the seven sacraments, the papacy, Church governance (hierarchy, bishops, popes, etc.), baptismal regeneration, purgatory, communion of saints, praying for the dead, the sacrifice of the Mass, the deuterocanonical books, liturgical matters, etc.
Every Protestant denomination, to more or less degrees, holds to theological and moral errors that an educated, observant Catholic cannot accept. From our perspective, it's like going from a magnificent feast, to a bread and water diet.
Yes, we acknowledge the sacramental (regenerative) validity of Protestant trinitarian baptism (reiterated at Trent and not “introduced” at Vatican II), and (what is far less known) we also regard the marriage between two lifelong previously unmarried Protestants as sacramental as well. But none of that wipes out the lack of so many theological and moral teachings, as outlined above. If that is all a Christian knows (as used to be the case with myself, from 1977-1990), then it's good.
But for the Catholic who has participated in the fullness of Christianity, it can never (again, or for the first time) be enough. It will always be — notwithstanding many good and true Christian teachings in it and lots of wonderful, godly Christians — fundamentally deficient.
A Protestant can indeed be saved, under certain conditions (CCC 847, quoting Vatican II document Lumen Gentium, 16), but we also hold that if he or she truly knows that Catholicism is the fullness of the Christian faith (only God knows their hearts and the extent of their understanding), and rejects it, that they are in danger of final damnation. In that sense, we still do assuredly hold to “no salvation outside the Church”:
Basing itself on Scripture and Tradition, the Council teaches that the Church, a pilgrim now on earth, is necessary for salvation: the one Christ is the mediator and the way of salvation; he is present to us in his body which is the Church. He himself explicitly asserted the necessity of faith and baptism, and thereby affirmed at the same time the necessity of the Church which men enter through baptism as through a door. Hence they could not be saved who, knowing that the Catholic Church was founded as necessary by God through Christ, would refuse either to enter it or to remain in it. (CCC 846, again citing Lumen Gentium)
When we converts come to fully understand these things, we have no other choice in good conscience, but to be received into the Catholic Church. We can no longer be as unknowing or uneducated as we were. And we cannot return to Protestantism, having learned all that we have in becoming Catholics and having fully accepted all that the Catholic Church infallibly teaches.
If the presence of specific sin among fallen Catholics is a reason to reject Catholicism as a Church and developed body of teaching (it is not at all), then institutionalized sin in Protestantism (calling evil good) and serious theological / doctrinal deficiency are much more solid reasons to reject Protestantism.
Lastly, Protestantism — like all other major institutions — is also sadly experiencing the same sexual abuse problems.