Two reasons:

- I've got LOTS of scenarios, so even with the collapsed steps, there's not room for all that whitespace and still always see the errors right there in the window.
- The grouping looks better without the space.

Instead of:

    Feature: My feature 1

      Scenario: 1
      Scenario: 2
      Scenario: 3

    Feature: My feature 2

      Scenario: 1
      Scenario: 2
      Scenario: 3

    Feature: My feature 3

      Scenario: 1
      Scenario: 2
      Scenario: 3

This looks better (in my opinion) and saves space (not an opinion):

    Feature: My feature 1
      Scenario: 1
      Scenario: 2
      Scenario: 3

    Feature: My feature 2
      Scenario: 1
      Scenario: 2
      Scenario: 3

    Feature: My feature 3
      Scenario: 1
      Scenario: 2
      Scenario: 3