What are Issues of Transforming Robots or Robots that Combine into Bigger Mechs?

[Disliker of the mary sue]

I know in general a Mech is a bad idea on many levels, cost, engineering, it's effectiveness versus other more conventional war vehicles. I also know that making a robot like a transformer that turns from a car to a robot, or something like a megazord where a bunch of Vehicles turn into one giant robot are also even more unrealistic ideas. But I don't know why in specific it is a really bad idea, the transformer and the make a bunch of vehicles turn into giant robots I mean.

Is it completely impossible for even like a realistic higher tl level beyond our own (not super-science) or is it just too much of a engineering nightmare for anyone to even seriously consider (and fund) such a thing? More or less just setting brainstorming in case I ever do get to set up a mech campaign.