That's because the KLM crew wasn't just looking at the radar between themselves and the runway. They were also looking at the missed approach path and could see that any attempt to go around was going to place them directly into a very large and dangerous thunderstorm.
The race to beat such weather is an all too often occurrence. I've done it myself (prior to the Air France accident). The path is clear to the runway and it all looks good so we'll keep going rather than accept the hassle of a diversion, forgetting that the missed approach may not be because of anything we've done (i.e. vehicle on the runway). Many of us have gambled and got away with it; the AF crew weren't so fortunate. When the approach went unstable (very late), they were caught between the proverbial rock and a hard place.