THE BAD GUYS HAD LEADERSHIP
In the Marvel Universe, whenever a superhero team goes up against a "bad" guy there's inevitably an opposing team on the other side. Shield went up against Hydra, The Avengers are going up against Thanos and his Black Order, the Defenders went up against the Hand and won. All 5 fingers supposedly make a fist, but they needed Danny's fist to break down the wall despite their so-called history and so-called unity. Throughout the series, Alexandria points out that the Hand is unified and that it's everywhere but right before she dies she points out that their unity is a lie. "We've all survived assassination attempts from each other." she points out. That's similar to the history of hydra and the black order as well. In Agents of S.H.I.E.L.D Grant Ward seemingly kills his way to the "top" of Hydra before he goes to Maveth to become the host for Hydra's ultimate evil. Guardians of the Galaxy vol 2 explained that Thanos forced his "children" to fight, pitting Gamora and Nebula against each other for his gain. The bad guys are always united under a manipulative evil leader and while some of them might try to crawl their way to the top the leader usually prevails.
With mixed results like Grant Ward killing his way to the top before becoming the ultimate head of hydra upon his death, Nebula swearing to kill Thanos, and Elektra putting her sais through Alexandra's back.
The people who succeed are the ones who always focus on the individuals - and there's no group of heroes more individual than the defenders and their allies. Captain America won when he fought for what he believed in, Coulson won when he fought for the people who he cared about and believed in. The Defenders fight for the people who they can trust. For Luke it's the people of Harlem, for Danny it's his history and his training, for Matt it's his faith and his belief in the law, and for Jessica Jones, it's when she finally comes down to it, for herself and to protect the people she loves too. Having a leader try and unite them under a single goal would have put them on a level with the bad guys where they, like the Hand, would have been forced into squabbling over just what mattered to each of them trying to unite the group behind a common goal.
Marvel's stories have always has been the uplifting of the individual before fitting them into a group dynamic. Putting a leader in front of The Defenders would have lessened the impact of their individual natures.
IT'S JUST MORE FUN
The simplest and most obvious reaction is that it's just more fun. Marvel's Netflix series has created a collection of amazing heroes who each have unique individual personalities. From Matt, Jessica, and Luke teasing Danny Rand to Danny charging ahead regardless of the consequences, the defenders function better as individuals than as a unit. With a person like Captain America or Phil Coulson leading them, there's a very good chance they'd all get belligerent and leave, with Jessica surprised and annoyed that everyone was following her. From a character standpoint, the defenders work better as individuals as opposed to teammates, and if any of them were to take a leadership role he'd be reluctant.
If any of them were to take a leadership role, however, it would be Luke Cage. While Matt has, according to Stick, been trained to lead, Luke Cage has the genuine wherewithal to want to do so. Matt wants to help people but he's burdened by his previous actions and will probably be blaming himself for Elektra for a good long while. Luke has done his time, has faith, has the backing of his friends and family. Luke is ready to step into a leadership role of some sort. The question is if it'll be on The Defenders season 2, Luke cage season 2 or Iron Fist Season 2. With the team in its current incarnation, however, from their quirks to the way their world works, a leader wouldn't currently be in the cards.
The Defenders is a story about the ordinary people with extraordinary abilities that will eventually make up every corner of the Marvel Universe. They represent the best and worst of those qualities. While they're iconic, they're also in their own way a superpowered window to the world for the audience. They allow an older audience with all of their flaws and faults to borrow a set of super powers and fight evil in the Marvel universe. If they were unified under a single leader it would diminish the impact of having individuals that everyone could relate to.