The reason is that the process itself is anything but easy.
The Tab key, which will move you between cells in columns in a table, doesn’t work inside newspaper style columns in Word so that key is out.
Instead, to move or jump from one column to the next you’ll press Alt + Page Down to go to the column on the right (the second column) or Alt + Page Up to move to the first column.
When you click Alt + Page Down, if you are in column 1 you’ll go to the very top of column 2. If you keep pressing the key you’ll flip between the top character in each column.
If you’re somewhere in column 2, when you press Alt + Page Up you’ll go to the top of column 1.
These are the only specialist keys for moving or switching between columns – we could use more – like jumping from a line in one column to the same line in the one next to it – but nada! Sorry!