They don't know that it's a nightmareDepending on the city, you are asking orphans living on the street to travel cross country in Skyrim. I don't think carriages would take a dirty orphan so it would likely be by foot.
Also until you deal with the problem at Honorhall it's a nightmare orphanage anyway.
At least that's what my line of thinking took me on.
And to you both, Sofie can go there, beacuse if Aventus can go from Riften all the way to Windhelm, so can SofieI imagine for one, they probably can't afford to travel there, and on their own isn't safe anyway. Perhaps the orphanage costs a bit of money too, so the kids there already could be from wealthier families. Also the orphanage isn't that big either. So not to mention there would be no room.
How's sofie a jerk? and if you kill Braith (A known jerk) parents, or most of kids from any city parents, they go thereAventus probably had money from his parents. Or he stole it, or is just insane and somehow managed to trek there on his own. You can't really compare Sofie to Aventus. I mean, he tried to summon the dark brotherhood. He had to get the materials for the effigy-- materials including human flesh and a human heart if im not mistaken. I'd say theres quite a difference between Sofie and Aventus. Clearly he is somehow capable of unrealistic things! So it's not that surprising that he made it home all by himself.
Also, as someone mentioned Grelod, I'd like to say that she definitely would not let Sofie into Honorhall. Mostly because she's a jerk, and also because I really do believe the orphanage is for orphaned kids with parents that had money, or perhaps served in the war, hence "Honor"hall
But that's just my two cents.
Re you question re looking after the kids in their own town, why would they? We don't do it in today's society (I should know, I WAS a homeless teen at one time). Particularly in the States, we don't give a damn about anyone except ourselves (generally speaking, although we talk a good game). The only people who take care of the homeless are the homeless themselves. Use the example of Lucia in Whiterun - who is the only person who cares in the least about her? It's the beggar and she even says so.I'm not sure I buy that but then I don't know the back stories of the kids already in the orphanage. To me, there doesn't seem to be a reason for them not to go, but there's a more fundamental question of why no-one is looking after these kids in their own towns - given the prevalence of religious institutions and somewhat kindly people (most people in Skyrim seem to be "good" in the D&D alignment sense) you'd think someone would take them in. Even with less kindly intentions (but still not bad) local farmers would appreciate the extra pair of hands in exchange for shelter and food. Although Lucia's relationship with the beggar is probably something to keep an eye on...
The orphans also seem to have a varied quality of life, but that might be my bias against cold weather. The kids in the south are probably doing a lot better than the ones in the north.
Having said all that, no-one bats an eyelid when a dragon-slaying vampire, cannibal assassin takes these kids off to his creepy, self-built house in the middle of a swamp. Maybe people don't care about the kids after all.
Like a lot of other things in fictional settings it doesn't make a lot of sense when you scratch below the surface. Ultimately the orphans are there to make the player feel sorry for them and emphasise the points about loss and hardship, especially from war.