Getting the rocket to survive falling over is extremely difficult. It can't even survive normal flight loads without the propellant tanks being pressurized, because it needs the extra rigidity to avoid collapse.

The margins involved are extremely slim. For a more familiar point of comparison, consider that a 747-400 (which is about as long as a Falcon 9 is tall, not that this means a whole lot) weighs about 180 tons empty, and can carry about 170 tons of fuel. The Falcon 9 first stage weighs around 25 tons empty, and carries about 400 tons of fuel and oxidizer. (Note that numbers are approximate, since official numbers are hard to come by.) That means that, sitting on the pad and ready to go, a Falcon 9 first stage is about 95% fuel, and 5% everything else. That 5% has to account not only for fuel tanks, but engines, hydraulics, support structure to hold up the ~100 ton second stage and payload, landing legs, and everything else that makes it a rocket and not just a pair of tanks.

Now you bring it back, let it fall over, and catch it in a way that doesn't break it. This is something about as tall as a decent-sized office building, with a roughly zero tolerance for sideways force of any kind. Imagine tipping over the Statue of Liberty and catching it without bending anything.

It's orders of magnitude easier to make sure the rocket doesn't fall over in the first place. You want to concentrate your efforts where they'll have the best return, and in this case there's no contest, it's not even close.