Why do I have to create a new OpenID for each web site? I know that when I create a new account, it is automatically associated to my other accounts. But, is there a reason why, when I originally create a user on the first site, I can't go on another site with this user?
I assume you mean "why do I have a separate user account for each site" (note that the openid can be, and often is, identical between sites, and in most cases the association between sites is fully automatic). And the answer is simply that your credibility etc does not logically flow. You can be the greatest chef in the world, but that doesn't qualify you for fixing a server.
This way, your expertise is acknowledged appropriately between different sites. The StackExchange inbox-thingy should help make it a breeze to track activity between sites.