Also because the Isle of Man has better support services for film making and primarily (I reckon) because they have a Media Development Fund to provide funding for films.
I agree that it would have been most insensitive and disrespectful to have filmed in the Channel Islands.
I also heard that the reason why they didnt film in the Channel Islands was because they had become very "touristy" whereas the Isle of man still had an old world charm, which made for a more realistic setting for a series set during WW11.