I wouldn't be in a good position to determine if it's lost purpose syndrome since I'm an insider, but I would suggest that path dependence has a lot to do with it.
Price indices are produced by governments, who are notoriously averse to change. And what's worse the broad methodology is dictated by international standards, so if an economist or some other intelligent person comes up with a better price index they have to convince the body of economists and statisticians that they have a good idea, and then convince the majority of OECD countries (at a minimum) that their method is worth the considerable effort of changing every country's methodology.
That's a high hurdle to cross.
On my blog I suggested using insulin prices as a good proxy for inflation. That should be pretty easy for economists to find, even historical data. One economists could find the historical data for one country and use it as a competing measure. No collective action problem to solve there! Just a research paper to present.
(Though I can't find it on google searches, but economists should be able to get access to the appropriate databases.)
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