I mean the only reason people buy steem right now is to get their ROI via self votes etc

Self voting is less profitable than vote selling though (and a lot more work!).

immediate power down costing 5% of your stake or something like that

This is actually a really interesting thought. Immediate powerdown for a price where the lost steem are send to null. Even if the loss was set to 0.5% the idea is kinda brilliant (it would result in a downward pressure on the steem "float" and definitely encourage outside investment and large powerups).

People buy stocks because they can sell them quickly. The 13 week vesting period for holding SP makes it a poor choice for someone who wants to have even moderate liquidity to their capital. If people were locked into a company for 13 weeks after purchasing a security... the stock markets of the world would go nowhere.