Neo's progression is limited by his ability to conceive of the Matrix as a place where he is potentially in complete control of what he sees and does. Powers like teleportation are likely limited by the Matrix-verse programming, to simulate an Earth-like environment.
Consider this. All his life he has believed:
- in the laws of physics, unable to be altered, fundamental to the universe as he understands it.
- his mind and body have been conditioned to believe in those laws and as such his natural sense of himself
- Neo's proprioception in relationship to the universe says there are simply things he cannot do, i.e. superhuman strength, superspeed, limited invulnerability, super-leaping and eventually flight. These things are the stuff of legends
- The Matrix reinforces this perception of the universe because it keeps humans believing in the existence of a world like the one they believe they are inhabiting. Legendary beings do not, cannot exist.
Now imagine one day, he is Awakened and told that nothing he sees is real and is moved from that world to another one (the question of whether THAT world is another layer of the Matrix is a different question) and now has to question what he is to believe.
His mind has been his interface to a world that he has come to accept intuitively and completely all his life. Morpheus' first mission is to make him question that very world and to see that he is not exempt from those laws, those fundamental rules of the Matrix, but once he believes, he can "flex the rules" of the Matrix, like a muscle and enter a "God Mode" state, much like in a video game, possess superhuman abilities.
He comes into this ability slowly at first but as his belief in his abilities improves he begins to conceive of himself matching and even surpassing things he has seen done in the Matrix. But, and this is important, he only does things he can conceive of.
- Fighting an agent in hand to hand, taking a brutal beating and surviving
- Dodging bullets in the fashion of an agent, thought impossible to the human mind
- Using superhuman strength, speed and reflexes in various confrontations
- Stopping bullets by literally visualizing them as "programming" and altering the program. (This was a critical moment in his conception of the Matrix as a field of programming and not as reality.)
- Eventually he even learns to "do his Superman thing" but it is still as a conceptual ideal limited by his ability to visualize the Matrix.
His abilities were limited by the Matrix as part of the programming of the Matrix-verse itself. Even programs who had special abilities that appeared as dematerialization, were more likely to be illusions or obfuscations and as such to normal people in the Matrix these abilities would be extraordinary.
By the end of the series, the Matrix was corrupted and nearly overrun by the Smith Entity. Even then, Neo could not conceive of himself winning and thus COULD NOT despite his nearly complete control of himself. Neo did not control the Matrix. He controlled himself in relationship TO the Matrix, as long as his manipulations did not violate rules in place he could not temporarily overcome by changing his program and program state entering his temporary "God Mode." The Matrix did not allow teleportation, so Neo did not or could not teleport.
But you said it yourself - how can the prophecy be true if the war isn't over? I'm sorry. I know it isn't easy to hear, but I swear to you it's the truth.