I wondered the same question, since I sometimes come into NY for an early s/u. It usually takes me nearly one hour on the to go from Newark or Harrison to 33rd Street. I think it is kind of ridiculous to take that long. But usually my luck would always have it that when I take the WTC train to JSQ, my 33rd Street train is late inbound due to "police activity" or something else, so I have to wait an extra 10-20 minutes.
Having direct service would be nice, but again, it would be a duplication of NJT/Amtrak service. I am sure if it was worthwhile, then the service would have been running a long time ago.