Idk if you've ever play Factorio, but it's the same premise:

Complexity: Essentially, there isn't enough demand to justify the expense and massive investment of money and resources. With petroleum refinement, you get byproducts and you need to either store them or make products from them, so it's not just a plant or two, it's a whole set of them.

Cost: Alberta is rich in extracted, stable crude oil and bitumen, but refineries are expensive. Like, really, really expensive. It doesn't make economic sense to heavily subsidize its processing locally, when it's so much cheaper to send it to the USA and elsewhere.