Reasons: The script.

Maybe they didn't know for sure they would be there

@DavisRanger rocket was there on knowhere in guardians, and in infinity war, thor told the guardians (including rocket) that he took the aether to knowhere, meaning both thor and rocket knew both were in the same place

I guess the writers didn't think of it

The writers thought of it. They have shared their whiteboards of working out the stone timelines like the Avengers do in the film.

Yes, part of it is script reasons. But part of it is about the ease of the heist. The 2013 heist is fairly simple, the only thing that causes them trouble is Thor getting upset/distracted. But it's not particularly dangerous or difficult. A heist on Knowhere is much more dangerous and much trickier.

As well as this, the Orb was only very briefly on Knowhere, and never just free for the taking. They would have to interact with their past selves or cause absolute chaos, it would be a mess. They're trying to be specific and clinical.

The orb was still in the hands of the guardians when they were with it on knowhere. Plus they had Ronan after them as well. So it still would of been easier to obtain the orb from Morag as they knew the only had to deal with quill.

I believe the aether would of been easier to get on asguard as well because Thor knew exactly where Jane was. They probably didn’t know where the Collector hid the aether on knowhere

Also keep in mind that a lot of the Time Heist done was done for cinematic purposes, because it's more exciting to see than "the logical course of action." I mean, why not have Thor & Rocket steal the Tesseract from 2013 Asgard as a contingency in case the 2012 team fails (at that point, they had no clue they were to return the stones; the original goal was to steal the stones, Blip the people back, with no intent to go back in time and put the stones back.) Why not steal the Scepter from Tony's lab in Avengers Tower in 2015 while everyone else was attending the party?

These are all things the Avengers could've done "as it makes sense" but it takes away from the stakes set in the movie, and the excitement.

Because they probably didn’t want to fight all the guardians.