Hi! I think one thing is that Adishaki is not actually separate from Shiv - she is half of Shiv and he is half of her - together they form the essential male-female shakti which powers the creation. Shivji gifted Brahma-ji his female energy because without it Brahma could not spark creation. But it was agonizing to rip it from himself and after it was gone from him he became vairagi, in a way symbolizing the plight of the male essence minus the female. It is strong but has no power to bring anything forth as it is the female element which drives creation.
So Shiv cannot, essentially, marry himself. Where the idea of marriage exists, which is actually kind of already strange where divine powers are concerned, you must have separate male and female being.
Also, Sati made vow upon her death that she would not return to Shivji until she would be born to a father who showed respect both for herself and for Shiv also. So she has in a way tied herself to a future birth so that she can be reunited with him. Actually, inthe puran, once she returns to Kailash with him as Parvati, she recognizes herself again as not human and they are once more joined as Mahadev and Adi Shakti.