Reasons not to get a Magic Wand with every hero?

Theoretically, it's a great item on everyone. Nothing else really offers the same kind of burst HP/Mana utility with virtually no drawbacks (e.g. having enough mana, cast time, etc.)

For the price, everything about it is great too.

The only time it's not as efficient is when you're playing a hero that is relatively less involved in skirmishes, especially early on when the burst of HP and Mana is a larger percentage of your total pool.
So some examples:

• Split Pushers - they may rush other items first, or aren't involved in many skirmishes other than the big team fights, but most of the time they are doing their own thing (Nature's Prophet and to some extent Dark Seer come to mind)
• Some junglers - they may not be as invested in early skirmishes and roaming; more focused on big team efforts like pushes, 5v5, etc. (Enigma and Chen come to mind as heroes where Wand is good, but may not be a high priority pick-up)
• Heroes that don't start off with Iron Branches - many heroes get branches to start, but some rush other items; you may not go back to get a Magic Wand in that case
• Some carries - especially if you expect a pretty passive lane, you may not invest into a Magic Wand, or maybe you're not super active

Places you always want Wand:

• Old School Tri. vs. Tri - there was no reason not to get at least an early Magic Stick because so many spells were being cast
• Against Heavy Spammers - a hero like Batrider will give you charges super fast
• Gankers/Roamers - pretty good investment when you're constantly in the frey

But if you're not sure whether to get one or not, I'd say it's generally safer to grab one. Burst healing is very desireable. Just be sure to hold onto your charges until using them will make a difference.
Also note that it's not bad to hold onto a Magic Stick (as opposed to the full Magic Wand Recipe) for an extended period of time.