Don and Joan are mirror-images of each other, which given their personalities wouldn't work in a relationship...plus they both want the most control in a relationship. Can't have two people wanting to be the controller.
I think they know this about each other and that's why they like each other so much.
Fairy tale-wise, we, the viewers, would love it but it wouldn't work.
And finally, a really good show....the last couple really weren't up to par for Mad Men.