Developmental biology is a Pandora's Box of scientific mysteries. We understand a lot of things about how indeterminate lumps of matter know to become a thumb or a finger, the spine or the lungs, or any number of other things. For all that we know, however, there's an almost endless list of things we don't know or don't understand. Especially when it comes to humans, since the methods that would be used to study them are almost universally considered unethical, even to people who don't think twice about harvesting embryos for stem cells.
So, when I read about experiments like this, where scientists try to make human/animal hybrid embryos, I start to wonder how we get scientists so devoid of morals or ethics.
My best guess as to why this fails is probably genetic incompatibility with the transcription factors. Transcription factors are the proteins which latch onto your DNA and signal for other proteins to be made. They're usually pretty picky about where they will bind, and even slight changes in either the TF or the DNA it binds can be fatal. More than likely, the TFs in the animal cell just aren't good enough to keep things going.
My only other guess would be that they're attempting to turn on genes which turn off at development. Cells turn these genes off (and work very hard to keep them off) because letting them run rampant leads to all kinds of problems. Cancer is usually the most obvious result, but I'm sure it's not the only one.
I'm really not complaining about the failure. The monsters who do these sorts of things ought to have their degrees stripped away.