Let's see - Shadow Step is his longest-cooldown Basic Ability (I don't have exact numbers, I just know I can get off more than one Blade's Reach between Shadow Steps, his ability lasts somewhere between 1.5s to 5-9 seconds, depending on if he actually reaches terrain - and, on top of that, the upper duration only increases with levels spent on the ability.
Which means, if you want to get sufficiently long-lasting Shadow Steps, you have to take points away from damage on either your Blade's Reach or Reaping Slash, making you more mobile, but less effective at killing.
Oh, and there's also the fact that his Shadow Step duration is locked at 1.5 seconds if he's in combat with an enemy Champion, making it extremely difficult to use it as an escape tool for a botched gank. And, even further, any hard crowd-controlling effects (stuns, knock-ups, etc.) will terminate the effect immediately, pushing him out to the nearest wall edge.
So, he can only "dive and get out" if he's actually successful at killing his target, elsewise, he might have a little trouble on the "getting out" part.
And the Knock-up on Blade's Reach is only if you chose to become a Darkin with your transformation, which, while a popular form to take, doesn't mean much.
Also, comparing Kayn to Talon is like comparing Galio to Sejuani. They have holistically different kits, and it's impossible to find more than the most minute similarities. (Kayn and Talon of have some mobility-related interaction with walls, Galio and Sejuani have dashes that knock enemies up, so they're basically the same kits, right?)
If you don't understand why it's healthy for the state of the game, that's fine, just understand that the ability isn't "all pros, no cons".