For me part of that is that they massively rejigger the game mechanics all the time. Now, that's not necessarily a bad thing, as they're trying to improve game rules, but if you learn to play the game as it works one way and then there are some major changes in how things work, it means that you have to do a mental reset (especially if you don't start a new game realizing that things are now working differently, so you don't realize that you need to reset). And it's a game where you need to understand how things work and plan ahead using that understanding, so not knowing what you don't know is kind of a liability.

EDIT: That being said, of all the Paradox games that I own, Stellaris is definitely been the one that I've gotten the most enjoyment out of.