Thinking about the Noldor coming over to Beleriand, it made sense for some of the sons and brothers to go off and found their own realms. Here was a country that to all intents and purposes was empty, save for a few resident Moriquendi and Dwarves (but they would not stand in the way of those who had 'seen the Light'
). There was a surfeit of strong minded noble Elves. And last but not least, there was a Morgothian horde to be challenged.
It would not have made sense to pick out the loftiest Elf Lord and have him rule one realm where all these Elves could live, even if they had wanted it to be so. The population was scattered, and strategically placed to challenge Morgoth or to hide from his minions in safety. In addition, the 'client realms' gave those Elves who were of noble birth but not in line to be top dog the opportunity to flex muscles and not be in as much conflict with each other had they been in one realm. I can imagine such a situation would have led to intrigue and murder.
I do wonder how convenient it was for some of the Noldor that Morgoth stole the Silmarils and that Feanor swore to retrieve them. Certainly in Valinor there was little if any chance for Elves to exercise power or independence, but in Beleriand they were free to explore the possibilities. Even Galadriel owned that in Middle-earth she was powerful and that in Valinor she would 'diminish'; she spent many years being a big fish in a small pond, whereas in Valinor she would probably be quite lowly in status compared to the Vanyar and the Valar.