In a planned evacuation, where we have time to prepare the cabin, you guys at the emergency exits would be briefed on operation of the exit. The person next to the window would be advised to check for fire or other hazards before opening...the person at the aisle in that row would be advised to hold others back until the exit is fully opened...and the person at the window in front of (or behind, depending on the aircraft) the exit will be advised to take the window from the first person - lay it across your seat, then get out.

If you just chucked it out the window onto the wing, then everyone scrambling out of that exit is going to trip over it in the melee - possibly falling off the wing and badly injuring themselves in the process. Can you imagine the pile of bodies? Sadly, this is why many people are injured during an evac after surviving a crash unscathed.

Additionally, the overwing exits on some aircraft are equipped with ramps and slides off the wing - throwing the door out the exit could damage the slide.

In an unplanned evacuation however, you wouldn't have the benefit of this briefing - and hopefully you'd have looked over the safety information cards before takeoff so that everything is fresh in your mind. We've discussed this before here in other threads regarding the safety measures on board - just because you don't fully understand the reasoning behind a policy doesn't mean it would be better to change it. There are reasons behind all of the ways and means on board - most of them come from examining past incidents and learning from them. Following the instructions (or at the very least, asking your FA's about them if you have questions) will make the situation much easier!