Because shelf space = revenue generating spaces.
A local album which can probably move around only 10 copies (if they are lucky!) per store with absolutely no marketing budget (i.e. giveaways like premiums, posters or standees - which spaces in the store have to be bought. Yup, no free lunch in this world.), whereas compared to Madonna's album which can move more than 300 or much more.
Why would anyone go with a product that doesn't move?
Somemore, those Madonna CDs which cannot be sold MIGHT be able to be exchanged for another product like Muse's latest album.
Your self-funded CD can be exchanged for what other products?
Local music doesn't sell lah...