A plausible explanation is that while the ships could go around, the delay would be punitive enough to lose the war.
At first, I found this a hard pill to swallow. After all, a 20 hour ultimatum from Sela -- surely you can fly around that blockade in a day! Moreover, she travelled to meet Picard in person, so it can't be that far, right?
Let's crunch some numbers. It is reasonable to assume that the Romulans are bringing large amounts of supplies. A couple of (high-speed) Warbirds can't carry enough, so the supplies are being brought by transport ships.
Transport / trade / supply ships don't necessarily travel at high warp. Travel at Warp 5 is about 6x as slow as at Warp 9. Let's say going around the blockade (assuming it's 2 days travel wide at warp 9) would add a whole week to travel time to go around. The show mentioned "urgency" several times. (Obviously, these numbers are soft, but it illustrates the point.)
The blockade was placed smack dab in the middle of the supply line, meaning that whatever the time delay to go around is, ships closest to the blockade would be hurt the most by having to go around.
The ships currently running the supplies would have to go around or try to run the blockade. If they try to go around, they take an extra 7 days to do it, and this basically means that the Federation completely stopped the shipments for 7 days.
To illustrate the point: Let's say for example there are 5 transports headed to the destination each 1 day apart. They will all start to go around the blockade; because of geometry of diverting along a hypotenuse, the ships furthest away are delayed the least. So instead of 7 days of steady supplies, they would instead receive 5 days worth of supplies 7 days later. That is clearly very bad.
The actual amounts of time don't matter. The point is that circumventing the blockade is a major disruption. It stops supplies for a certain amount of time and then makes time between shipments longer until a new strategy is adopted.
Let's assume the Romulans can adapt, sending more ships and accounting for the longer travel time by going around. Maybe even using faster ships.
No matter what, the Federation blockade adds X days of delay.
Sela knows that this time period is too long; it means their plan fails. So she makes the decision to try and run the blockade.
Doesn't that seem bone-headed? I was thinking, "Send half the ships at least? CMON!"
She could tell her ships to try and go around and then resume course if a solution is found.
That's bad for several reasons.
(1) When they resume course, they are off-course and so the delay of starting to go around and then back-tracking is worse than just waiting to run straight through the blockade.
(2) It's risky. Spreading out means more chances to get caught. You might need the Warbird's energy and technology to run the blockade, i.e. "high powered" solution, so you need to stick together anyways.
(3) The ships are still late; the Federation's strategy wins and you just scattered your ships like a sprinkling of salt into a war zone for no benefit.
In the end, going around is not an effective enough option. Sela is smart enough to know this, so she doesn't try. She "goes all in" on running the blockade with all the supplies. It's the last good move she has left.
Another plausible explanation is that the Romulans could go around, but simply don't want to. Consider the psychology. The Romulans do sneak around, but are somewhat contrary in their nature: they also face challenges head on. Romulans are proud and don't back down from a fight. They are masters of intrigue. They might be thinking, "Why should we run around Picard's blockade like a scared animal when we can defeat Picard with guile? Stare him down until he blinks!"
Sela demonstrates she understands the strategy very well. But it could hurt the morale of her crew and how she is perceived by her crew and her superiors if she were not to use a show of strength when challenged.
Another reason to not go around: The Romulans also perceived the blockade as a temporary setback. They are confident they will find a solution; their understanding of cloaking technology is superior to the Federation, so they are willing to bet on beating them with Science. In the end, this turned out to be correct. If it were not for Commander Data's playing the hero, they would have won this way.