The crews enter the Matrix when they are on the ships, which makes them an easier target for sentinels. Why don’t they enter the Matrix when they are in Zion? They were talking about earlier attempts attacking Zion, so the machines already know where Zion is.
In The Matrix, Morpheus explains that they hack into the Matrix by broadcasting a pirate signal:
This is the core where we broadcast our pirate signal and hack into the Matrix.
In The Matrix Reloaded, the following conversation occurs during the Crisis Meeting:
Morpheus: Niobe. My apologies to all. As you are undoubtedly aware, it has become increasingly difficult to locate a secure broadcast position.
Vector: Squiddies got all our best spots.
Ice: Mainlines are crawling with them.
Ghost: And if Niobe's right, in 72 hours there's gonna be a quarter of a million more.
Ballard: What are we gonna do about it?
Niobe: We're gonna do what Commander Lock ordered us to do. We'll evacuate broadcast level and return to Zion.
This conversation clearly indicates that the hoverships have limited broadcast range (a "broadcast level") which does not include Zion, and that sentinels are getting better at guarding the broadcast positions. The humans are evidently unable to broadcast a signal with enough range to hack into the Matrix from Zion.
Even if the humans could hack into the Matrix from Zion, they wouldn't want to. Neo finds out from the Architect in The Matrix Reloaded that the machines know where Zion is and have destroyed it before, but the humans did not know about that before:
The Architect: The Matrix is older than you know. I prefer counting from the emergence of one integral anomaly to the emergence of the next, in which case this is the sixth version.
Neo: There are only two possible explanations, either no one told me, or no one knows.
No one knew about previous version of the Matrix, so they did not know about previous versions of Zion which had been destroyed by the machines. Consequently, the humans attempt to hide the location of Zion so as to protect it -- but broadcasting a signal from Zion would make it obvious to the machines where it is located.
In order to hack into The Matrix, the ships need to attain a specific height, referred to as "broadcast depth". The implication is that they can't broadcast wirelessly without reasonable proximity to the surface.
Morpheus: Dozer, when you're done, bring the ship up to broadcast depth. We're going in. Taking Neo to see her.
Neo: See who?
Tank: The Oracle. - The Matrix
As to why they don't broadcast directly from inside Zion, don't forget that it's supposed to be a hidden city. If they broadcast openly, the machines will find them.
Note that it's not until the subsequent films that it becomes apparent that the Machines are very well aware of Zion's location.
In the Matrix comic entitled "Broadcast Depth", we see the consequences of a botched attempt to hack the Matrix. It makes you immediately traceable: