Well I was half joking before but if you want an explanation I can provide one.
It's not that he doesn't work, it's just that he's incredibly outgunned when it comes to being an assassin. Yes, he has some of the highest, if not THE highest damage output for an assassin AND he has a stun to boot. The trade off is his crappy mobility which makes him a pretty poor assassin. Keeping tabs on him roaming is a lot easier than a Kass or Leblanc. His cooldowns are also longer than say, Akali, who eats through a team faster. His slowness/lack of escape makes him vulnerable to ganks from assassins like Khazix or bruisers like Wukong who can lock him down hard or provide enough of a window for the enemy laner to get him low. Yes he can blow people up, but he lacks options to escape unlike many other assassins.
Your statement that nobody buys MR is just wrong. Mids these days are very likely to be either tanky AP (Gragas) or assassins (Kass, Leblanc, Fizz). Plenty of mid players will buy Abyssal and/or Zhonyas. Tanks and bruisers very often pick up Spirit Visage still. Even if they do not, they usually get tenacity which reduces Veigar's ability to lock them down and easily chunk those high HP targets.