It would be in line with yukkuri intelligence for it to just not occur to her -- if her goal is on the other end of the treadmill, it doesn't occur to her that she could get off the treadmill and head to the other end, rather than having to leap along the treadmill until she reaches the opposite end.
However, there are other possibilities. It could be that the "stupid mister" has threatened to kill the other yukkuri she's apparently after if she gets off the treadmill. Although noted for their selfishness as a species, some yukkuri can show remarkable self-sacrifice -- and it seems to be relatively more common among Reimu types, to the point that "selfish monster" Reimu are actually nicknamed "Deibu" to differentiate them from the norm.
Alternately, it's possible that it's like some of the panels from the Marisa treadmill comic -- there are actually walls on either side, but they're removed from the drawing so they don't obstruct our view.
Ultimately, though, for the lack of other evidence, I'd have to go with the first guess: she's just too stupid to realize she doesn't have to stay on the treadmill.