Because it is configurable in both browser and e-mail client. Browser does not send e-mail on it's own, it has to open correct e-mail client on your machine, and correctly transfer all the necessary data to make it automatically create new e-mail message for you. This may fail in browser either because it is simply disabled (many users find it a good practice to disable auto e-mail because some pages may contain scripts that can misuse this feature) or because it is not configured properly, it may fail in OS not allowing browser to use e-mail agent correctly and it may fail in e-mail agent by configuration reasons. It works only with local e-mail agents, it can't work with online e-mail front ends (like gmail). As you see, the sources of problem with not opening e-mail are numerous, so you can't rely on it. On the other hand, if you had put your e-mail in the WD page as Sledger describes, even if it doesn't work on click, user can simply right click, select Copy URL, and then paste it to his e-mail program.
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