For one thing, governments are inefficient, and externalities aren't always easy to reverse. So probably after the Department of Externality Taxation is established, either the funds raised by the tax aren't enough to compensate the people damaged, or something bureaucratic and symbolic is done that doesn't really help. After all, if there isn't really anything the department can do to address the problem, the last thing they're going to do is put themselves out of a job and return the money. They'll start wasteful moonshot projects instead.

For another, the government is now heavily incentivized to tax the Bad Thing as much as they can, both to show voters that they're Tough On Bad Thing and also to raise money. That's not what we want- we want to disincentivize externalities by exactly their true cost, and preferably return that true cost to the people damaged by it.

Finally, assuming we can't perfectly tell what the externalities cost individual people, directly giving them a return equal to average damages is efficient. It drives people who suffer the externality disproportionately away, and it attracts people who can bear the externality at minimum cost.