I realize that many demons are trapped in a separate dimension (Sometimes the twisting nether is a separate dimension and sometimes it is talked of as if it is simply outer space). However, it is said that the Burning Legion has conquered and occupied numerous planets including Argus (which is in the "real world.") So, if they have an extensive presence in our plane of existence (as opposed to the Twisting Nether), why don't they simply "fly" to Azeroth and land on the surface rather than attempt to enter through dimensional portals?
One possibility: they are traveling to Azeroth by conventional means as well but it is very far away. We know that the Titans and Old Gods and and Draenei travel(ed) from planet to planet so it appears as if some sort of space-faring technology/magic exists. It might just be slow. Problems: 1. The Exodar can apparently fold space/travel great distances in an instant. Outland is home to some space-faring races that managed the trip too. One would think a being as old, powerful and intelligent as Sargeras would have access to similar or superior technology/magic (unless the Naruu are more than just an advanced space-faring race). 2. It appears that Draenor/Outland is not particularly far away from Azeroth based on the prominence with which it appears in the sky.
Another possibility: Space is heavily patrolled by the Titans tasked with destroying the Burning Legion. It is wasteful/useless to attempt to attack a planet directly via "armada" because the Titans would quickly take note of the Legion's movements and stymie their efforts. They may have also erected some sort of net to prevent folding/instant travel across some regions of space. Argus and other conquered planets might also be quarantined/under siege, making it impossible to breach the blockade without dimensional gates.
Of course, in-game the reason is simple: Blizzard doesn't want us to fight them yet and it's hard to have an MMO if Azeroth is nuked from orbit. Is there a lore reason I am missing?