The Hyrule Castle Town is more of a place for snobby, rich, top-class citizens. And Link isn't a one. And if he'd live there, there wouldn't be much adventuring to find Zelda or go to Hyrule Castle, (since that's usually in the games) and if Zelda's already near Link, I don't think it would feel like an adventure to walk a few meters, and be like:"Hiya Zelda! U fine? No monsters?". No, not like that.
Though it could be possible, that Link would live there first, and afterwards, let's say--- an earthquake would come, caused by monsters, and it would destroy the town, and Link would have to run away. (And if it's destroyed, the player could rebuild it.) And stuff.