Why didn't Voldemort, with his Death Eaters, attack Harry at the train station in Order of the Phoenix or in Half-Blood Prince? He could have easily outsmarted the wizards and witches there with the help of his Death Eaters, or he could have just disapparated after killing Harry.
In the fifth part, Voldemort was doing his best to keep hidden, which makes things easier for him if no one believes he came back, and because of the history, he wanted to be the one who kills Harry. In that case, it would not have been very realistic of him to suddenly appear at the King's Cross, nor would he want his Death Eaters to do the job for him. Even at the end, surely it was not part of his plan to be seen by Fudge and the others.
In the sixth book, we can make some assumptions, especially based off of this part:
Given that, it's safe to believe that the travel to King's Cross as well as the station itself is being watched by a highly capable set of Aurors, again, which would be a very messy situation for even Voldemort and his friends to deal with. Hence the elaborate plan involving Dumbledore and such.
It isn't clearly claimed, but I think that the most important places of magicians were protected some way (aurors, magic, maybe Dumbledore). Voldemort appears at the Ministry in the end of book V and we can see that it's dangerous for him too.
Anyway, many of the death eaters and their children are usually in King's Cross by the departure. It would be dangerous for them to start a fight there - and of course the attack would be obvious if these people were missing.