Size, speed & cost
The reality is that people don't do it now is because of the cost. Rapid prototype machines are expensive but that isn't the only reason they aren't cranking out toys like Santa's workshop. The biggest problem is actually time. It is called rapid prototype because it's faster and cheaper than building all the tooling to make a part. Just to clarify I said a part not a few hundred parts, not a few thousand parts and certainly not a hundred thousand parts.
If someone thinks they are going to get rich spinning out a few thousand Mikey Moose toys they can think again. 3D printing is perfect for making a few, perhaps into the tens of parts or even a hundred, if they are small enough to do a dozen or so at a time, but it's still a slow process and it isn't uncommon to kick large parts off just before you tick off the lights and let it run over night. Don't get me wrong, that's a heck of a lot faster than designing molds, making metal chips and firing off the injection molding machine to make _a_ part. That said, once the mold is made the high volume setup is done and parts come out like popcorn. In between, there are CNC machines that are program once and run them for a week and you will have far more parts than you could ever hope to produce on a 3D printer.
There you have it. 3D printers are great when you need a half dozen or so items the next day and if people could have made them suitable for mass production, they would have. This really is the specialty space for those people who make a living doing one-offs. It's for those artists who don't have the manual dexterity to paint the next Mona Lisa and the inventors wanting to do something different.
Lego bricks? At a tick over $20 for over 400 bricks it just isn't worth it. It would cost more in electricity to run the printer.