For two people to sing together, they have to be synchronized. This is difficult when sending a signal from Philadelphia to London takes at least 0.2 seconds one way (*).
If you have access to an audio delay effect you can try this for yourself.
For the live broadcast from the Moon, the delay was even longer, but the people on the Moon weren't trying to sing together with people in Mission Control.
When you listen to the unedited recordings from Moon broadcasts, you'll notice long delays when the astronauts have to respond to a question from mission control.
*: it's 0.2 seconds when the signal is sent via a geostationary satellite. If you used a cable link the delay would be shorter, but broadcast-quality cable links were in short supply in 1985.