Each image can be multiple gigabytes so it could be computationally difficult. Also those are probably all the lung cancer slides that TCGA has (edit: there seems to be 3500+ lung cancer slides at [1] so I was wrong. Maybe they're not all H&E stained)
You also need to retain a significant set of slides the classifier wasn't trained with so you can verify that it does work for data outside the training set.
[1] http://cancer.digitalslidearchive.net/