Because the birth of that demon took time, he needed help within the next 24 hours.
That and we know now that Melisandre's power isn't really actively her own power, but the will of the Lord of Light acting through her. That shadow baby served a very specific purpose with very specific people, being King Stannis' "son" birthed to kill his usurping brother Renley. There's no guarantee that it would even be possible for Jon and Ramsay. And I don't see Jon agreeing to have sex with Melisendre in order to birth a demon baby anyways.
It's the same with people saying why didn't Mel try to revive Rickon. It almost assuredly wouldn't be possible to revive Rickon. Jon was chosen by whatever forces are working behind the scenes, it wasn't Mel's ability that brought him back.