Nearly every species that controls their entire home world/system is named after said home world/home system with the notable exception of two: the Klingons and the Humans.
So it's natural to ask, "okay, if they were going to make an exception for two, why not all of them?" However, it's much easier to explain if we ask the converse first: why are Klingons and Humans treated differently?
Qo'noS wasn't established as the Klingon home world until Star Trek VI. Before that, the only canonical mention of the Klingon homeworld was in "Heart of Glory" when it was actually called Kling. Klingons from Kling: follows the same convention as all the other species.
The Star Trek Encyclopedia explains why it was changed:
At the time the episode was written, Kling was intended as the name of the Klingon Homeworld. Once the episode was filmed, it was realized that the name sounded pretty silly, so later scripts simply referred to "the Homeworld." The only time the Homeworld was given a name was in Star Trek VI: The Undiscovered Country, when it was called Qo'noS, pronounced "kronos."
So that just leaves us Humans on Earth: calling us anything other than Humans or Earth anything other than Earth would be too foreign and confusing for the audience. We're humans, so that's what we're called. In Human languages, the use of the word predates First Contact and moreso the convention of calling species by their origin planet/world.
You might ask, "why do the species all call themselves by their planet name instead of by a local name like the Humans do?" Well, they do use localized names: for example, "Klingon" in Klingonese is "tlhIngan". But due to the magic of the universal translator, whatever localized name species use to call themselves gets translated to follow the Human convention.
That is, Klingons could call themselves "tlhIngan" or "Joey Jo-Jo Junior Shabadoo" in Klingonese, but the word would automatically be translated to "Klingon" by the Human universal translators. In the same manner, the word "Human" would be translated to the localized word used by Klingons for Humans by their translators.
So to answer the question, the reason why species aren't given more exotic names is because, given the universal translator, it'd be entirely unnecessary. Humans (and by extension, the audience) wouldn't need to use the localized name in everyday situations.