Why is it that I must always create a new user whenever I get a question migrated to another of stackoverflow's sister sites?
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You don't have to, you can associate your accounts between each of the quadrilogy sites. As an added bonus, you get a bonus of 100 reputation for every association you make, if either the source or target account in the association has at least 200 reputation.
If you've already created separate accounts on the other sites, you might want to merge them - if that's the case, e-mail firstname.lastname@example.org.
Having a separate account per site allows the most flexibility to the user -- you don't have to have them associated if you don't want. I suppose this is most useful only on meta -- for example, if you have your CV listed on Careers and associated with your SO account, but you want to keep your wild and wooly meta persona from being easily connected to you (not that I recommend that, but I could see where this is a valid use case). The current system doesn't force you to make the connection -- yes, migrated questions will be associated with your SO id, but you can use another id to interact on meta if you want.
Having said that, if you do associate your accounts, I think you should be able to specify if (and which) you want to use one profile for all the sites and it should keep them in sync.