Well I know for a bunch of marketing reasons. Why though does the order have so little to do with the Islamic world? I was going through ToH:Iberia recently and it seemed that the original answer was the now defunct realm of reason. Baghdad has an estimated population of around a million in 1200. India also has some pretty impressive cities. For Magi interested in mundane knowledge, the libraries of the Islamic world are impressive. Living in areas with large cities and a strong central government has downsides for magi, but also has the benefits of living in areas with large cities and a strong central government. Not least of these is the possibility of existing without being drawn into a system of feudal relationships. Is fear of the Sahir's really that much of a deterrent?
It strikes me with leap of homecoming and a couple fixed arcane connections magi could have access to some very intersting places.
As you say, out of game there are marketing reasons. There are also world-building reasons (it's easier to build one coherent Mythic Europe than to worry about how to integrate India or China, say, into your setting).
In-game, I don't see any real reason why magi won't roam around. They would run into a problem with Sahir, yes, but I'm not sure this can't be overcome and besides there are lots and lots of other places to go (China, India, Australia, sub-Suaharan Africa...). But due to the above marketing and world-building reasons, there is just no support for it in the setting, so it's easier for the regular saga to just ignore this and assume it doesn't or only rarely happen; perhaps these places don't even exist in Mythic Europe.
You could also very easily play Ars Magica in a fantasy setting, BTW, or have a multi-verse kind of setting connected through the Realms (so you could enter Faerie, say, then reach the part of it that reflects the stories of the Forgotten Realms, and then exit it into the Forgotten Realms world).
You can play whatever you want, in your saga. But I think most do want to play just in Mythic Europe, and it's easier to build a consistent and rich setting centered just on that, so hence - just Mythic Europe.
I also think there has been a change of scope. When I first picked up AM, our sample covenant was a tower on a hill near a bunch of faeries. The emphasis was on local events and the covenant.
Covenants still matter, but Houses and Tribunals have become an important element of organization, not just culture. A Tribunal once every 7 years seems strangely unworkable, fit more for a Dark Ages continent ravaged by monsters in which venturing far is dangerous, even for magi, than for the Scholastic Golden Age of AM5; it is a legacy of the original game and a different sensibility.
I don't think one is better than the other. But I do think that as we add realistic cultures and civilizations to 'Europe,' the idea of "This is a world where the beliefs and folklore of medieval Europeans is largely true" become diluted, since many of those civilizations are dramatically different, with beliefs that cannot also reasonably be largely true. Even what we have today "flattens" Mythic Europe or makes it smaller.
Magi can travel quickly and in relative safely. Some of them will be at least as cosmopolitan as the most cosmopolitan MEuropean; others are American like me . But most medieval Europeans in-period never met a Muslim or Jew, and Europe ought to be a big place even for magi.