There'd be no point in simply destroying it, because they'd have no guarantee that it would be rebuilt in the future. If they really wanted to create some sort of paradox to prevent Ultimecia gaining the JME, they'd have to make sure it was never rebuilt for the next 200 years or so (until after Ultimecia's era), and it's not like that was gonna happen.

Secondly, they knew (through Ellone's experience, and Squall's for that matter, and I'm betting Odine knew from a scientific perspective too) that nothing they did in their own time could change the fact that Ultimecia in the future has the machine, because you can't change time (past or future; this is a central concept in the game). So again there's no purpose in just destroying it. The very fact that Ultimecia has it proves that destroying it won't help, so they have to rather confront her head on.