Why isn't an adrenal gland transplant possible? Is it just too hard to do, or it gets rejected?

Both. In patients with addison's disease, the antibodies will attack the new gland so the transplant will not last very long. The gland is also very delicate making it very hard to connect the blood vessels. Also, the treatment for addison's is steroid which will also be needed after a transplant to prevent rejection so there is no need for transplant since the treatment is the same.