That's where the other problem lies. Just what kind of level-progression system could possibly be applied for online-play? Would you always start at World 1-1 every time you played? Could you pick any World to start off in? Could a player join a group that was playing through stages? If a player disconnected from their friends, could they just rejoin and start off in the next stage? Even if that were possible that player is missing out on the full experience with the other players, and if they were playing with a random group they have lost all their progress period. There are a lot of variables to deal with here, and clearly the development team found these issues to be detrimental to the gameplay experience or else it would have been included. We don't do things or not do things to piss our fans off, we just do what we think will produce the most cohesive and satisfying experience for everyone. 
I can't speak for the technical issues involved, but as for how it'd work, it'd actually be pretty easy, if done in a similar manner to, say, Four Swords on the GBA.
Let's say the game consists of eight worlds. Each world consists of, say, ten or so levels.
When you connect online for the first time, you and your buddies will have zero keys. Now, the keys could be anything - say, magic wands, golden coins, whatever.
Each of the first seven worlds would have their own key that you obtain when you beat the final of that world.
So, let's say you and your group start playing - everyone for the first time. When you start out, you can select any of the first seven worlds. Let's say you select the first world. You'll have to play through the levels on the map like normal and when you beat the boss, all players will be rewarded with the key to world 1.
Now, if at any point, you want to go back and replay levels in world 1, you can do it so long as all players connected have the key. Say, the original three players are joined by a new player - they would have to replay world 1 from the beginning. Alternatively, the new player could play through world 1 on their own to get the key.
Now, once all players connected have all seven keys, world eight would be unlocked and the players would be able to play it. However, if, say, one of the main four players has to disconnect and a new fourth player is invited to join and he doesn't have all seven keys, all players would have to go back and play levels out side of world 8 until the fourth player has all seven keys.