Mario's a free spirit, he isn't gonna take a job where you literally can't turn your back for a moment. The time it took for Peach to get kidnapped at the start of NSMB was shorter than a pee break.
I think the good guys are honestly surprised each time Bowser kidnaps Peach, like they expect him to not do it again. I mean, he seems a nice enough guy when racing karts and playing tennis, right? Maybe he just has a problem similar to kleptomania that he simply can't control and Mario can't blame him for it