Because if they destroyed the machine, then they would not have gone into the past to destroy it, but if they didnt go back in time it woulnt be destroyed, but if it was made they would have gone to destroy it, but if it was destroyed then they wouldnt have gone to destroy it, but if it wasnt destroyed they wouldnt have gone to destroy it...

and i think a time and space continuum/time paradox (i get the 2 confused) is alot wose than time compression
I think causing the universe to collapse was the last thing they wanted to do
This is likely that last thing that would happen if they destroyed the machine, as I already explained above, and as has been further embellished upon afterwards.

To sum up things a bit here, there are two answers as to why destroying the machine wouldn't work:

1) If time is set in stone and fate exists in FF8, then destroying it wouldn't help, as that would have been one of the set in stone events leading to Ultimecias acquisition of the Junction Machine Ellone. Something (unspecified exactly what, but it doesn't matter, the point is that something DOES happen) will happen which causes the machine to be built again and expanded upon until Ultimecia gets it.

2) If time is NOT set in stone and fate does not exist in FF8, like Skyblade believes, then Skyblades explanations are probably the best ones to give. To add here, as mentioned many times now, destroying it would probably not cause a paradox, but it doesn't really matter, because they never do destroy it...

Personally, option 1 is the most plausible and logical one, simply because FF8 is saturated with the concept of fate (heck, "Liberi Fatali" itself means "Children of Fate"!). However, I respect people like Skyblade who hold the other position.