I think that he simply doesn't have the incentive to do it. Groups like Tasofro and Type Moon consist of a handful of employees so it would be better for them to found a company in order to get benefits like liability protection, lower taxation and all that stuff for their employees. But ZUN is just one guy, he does sometimes rely on others for his extra works but they aren't employees. If he wanted he could expand Shanghai Alice and probably become a pretty sizeable company but as nintendonut said, he simply doesn't want to. Touhou is a pretty big inspiration for many because it has had such a monumental influence on the anime/gaming scene in Japan and it's just a game series produced by a single guy. It's not a bad idea, there's a lot of positives that could come from this such as: faster game releases, more closely knitted relations between the illustration artists and ZUN, and a lot more Touhou content overall. But there would be a point were ZUN himself might lose creative control over his work in order to favour the sales of the company.
