It's expensive and the conditions are harsh.

The daytime side gets hot enough that a rover would be difficult to operate for long. You'd also be getting big swings between daytime hot and nighttime cold, so thermal expansion would probably be annoying.

Then it's unusually expensive because orbital mechanics make it very difficult to approach the sun. We're currently all flying sideways with respect to the sun, so if you launch something, it just wants to continue that orbit. In order to get closer, you'd need to shed most of that momentum, which takes a whole bunch of energy since inertia in the vacuum of space just means everything keeps going forever.

This is just my guess, but I’d say it’s probably too expensive to get one there and it wouldn’t be worth it. There’s not a whole lot interesting to study on it. Funny enough, the surface of Venus (465°C) is hotter than the surface of Mercury (427°C), and we’ve visited and landed a probe (several, actually) there. They even took some pictures. Venus is a lot more interesting though. It has an atmosphere and weather. Mercury is just a barren rock.

Mercury's surface temperatures are both extremely hot and cold. Because the planet is so close to the Sun, day temperatures can reach highs of 800°F (430°C). Without an atmosphere to retain that heat at night, temperatures can dip as low as -290°F (-180°C).

I think this is the big reason. It's also close to the sun, which makes it difficult to land something on it. There's likely not as much value in doing it just yet, while we can gather data about its composition through other methods. Eventually we might do it, and I imagine it'll be for resources of some kind

https://www.space.com/41664-mercury-lander-mission-study-proposal.html

I found this article just now but have read it all yet. Seems relevant

Mercury has been devoid of spacecraft companions since NASA's Messenger mission ended in 2015, and while the next mission bound for the innermost planet launches later this year, it won't arrive until 2025.

On the last point, here is that new mission and the updated timeline

https://en.m.wikipedia.org/wiki/BepiColombo

On 15 May 2024, ESA reported that a "glitch" prevented the spacecraft's thrusters from operating at full power during a scheduled manoeuvre on 26 April.[9] On 2 September, ESA reported that to compensate for the reduced available thrust, a revised trajectory had been developed that would add 11 months to the cruise, delaying the expected arrival date from 5 December 2025 to November 2026

Mercury is boring because anywhere you go in the Solar system, on average, Mercury is the closest planet.

1. Difficult to observe
   Being the innermost planet of the Solar System, it always appears too close to the Sun. While the golden time for astronomical observations is at night, Mercury sets and rises in the sky nearly together with the Sun.

2. Hard to reach
   Mercury is actually more difficult to reach. According to some estimates, it would take less energy to get to the dwarf planet Pluto than it takes to get to Mercury. The reason for that is Mercury’s closeness to the Sun. A spacecraft aiming to not only fly past Mercury while in orbit around the Sun but to enter into orbit around the planet directly, has to constantly brake against the gravitational pull of the star.

3. Too hot to orbit up close
   Not only is sunlight around Mercury about 10 times more intense than near Earth, the planet’s scorched surface also radiates heat back to space. As a result, MPO will have to endure temperatures of up to 450°C, hot enough to melt lead.

https://www.esa.int/Science_Exploration/Space_Science/BepiColombo/Three_reasons_why_we_know_so_little_about_Mercury#%3A%7E%3Atext=The+reason+for+that+is%2Cgravitational+pull+of+the+star.