They actually did do this at the very beginning. I remember that bald dude (Scott something) and Arn Anderson did some commentary on Heat at least once...and I think it may have happened on Smackdown too. They already had Heyman on commentary, so I guess they saw that as enough.
I think the biggest issue WWF had then was that WCW contracted talent had the option to just sit their remaining time out on their contract, so I would presume Shiavone did the same. Heenan wasn't even in WCW around that time anyway, was he?
The storyline was good for about the first month, then it went South. I mean, it was still fun to watch basically having two giant ass stables for most of the year, but it became pretty shit towards the end. Another issue was that I don't think WWF wanted to wait too long because they needed to WCW brand to still be relevant and it was no longer on TV. By the time the angle started, Nitro hadn't been around for a few months anyway.