In Gundam Wing, Gundams were not easily made, and did not consist of materials easily come-by. There are very few Gundams.
That is why in Gundam Wing you'll notice there are "mobile suits" and "Gundams", there is a clear distinction. Wing is a less realistic series than the original, in that there are only a handful of Gundams and they are quite literally ultra-weapons.
Most of them are made with Gundanium alloy, which is very rare and difficult to make. Outside of Project Meteor only 3 "gundam" level mobile suits were even created. Talgeese, Mercurius, and Vayate.
Consider them Nukes in WW2. They are super weapons, and not to be trusted in the hands of mankind. Disassembly on Earth would free up cheap gundanium alloy, and the components could always be reassembled or reverse engineered into new weapons. The theme of Endless Waltz is supposed to be that Gundams are no longer necessary in the world, so these high-power weapons are sent into the sun to be permanently destroyed, without giving anyone the change to learn their terrible lesson.
EDIT
Because this needed clarification, here is a list:
Gundams are incredibly rare, and are far superior to all other mobile suits.
This is unlike many other gundam series, where the mobile suits are all fairly standard, and a pilot or engineering team needs to constantly modify strategy and pull-through against all odds.
In Wing, Gundams are made of incredibly difficult to produce alloys. Gundanium is only producible in space.
In Wing, the technology that was used to create the Gundams is similar to the Nuclear technology circa 1940. It is not to be taken lightly, is not simple to create a Gundam.
Gundams were produced in a way that was always based on some earlier model. Most were derived from Tallgeese (although Tallgeese did not consist of Gundanium), then from Wing Gundam we see variants like Wing Zero, which was the basis for Shenlong, Sandrock, Deathscythe, etc.
So, to cut off the chain of death by the super-powerful weapons, they made sure no one could re-engineer them, learn from their design, or keep their rare, valuable materials.
To accomplish this, they sunk them into the sun.