So, I can think of a few major challenges such a book would face. First, the Wheel of Time Companion was written by Team Jordan and published by Tor; at the end of the day, the Coppermind editors are just a bunch of fans and we don't have the same resources to dedicate to producing such a project. Additionally, Team Jordan had full access to RJ's notes and could be confident that everything they wrote was correct. We do our best with the sources we have, but sometimes characters in-world are wrong and sometimes WoBs are inaccurate (because Brandon changes his mind, misunderstands the question, or—rarely—lies to preserve a future reveal). On the wiki, it's easy to update things when we get new information, but parts of a printed book could quickly become inaccurate. Beyond that, the wiki isn't even fully updated for all books that are currently out, so some entries in such a book would either be incomplete or have to be left out. Compounding that issue, whereas the Wheel of Time Companion was written after all the books are finished, Brandon is still writing cosmere books, so with every release a physical book would fall further and further out-of-date.
I think I can speak for all of our editors when I say that we deeply appreciate all the praise that the Coppermind has gotten. Its quality is the result of incremental improvements by a lot of editors over the past nearly 15 years and fixing it in a physical book would quickly lose that benefit.