##Perhaps she doesn't have the right tools

As other's have answered, perhaps she doesn't have the right tools to utilize the Tesseract. At the end of The Avengers we see Thor and Loki use the Tesseract return to Asgard, and the Tesseract is in a transparent cylinder with handles for them to hold.

In order to use the space stone to transport her and her entire army on a conquest of the Nine Realms, perhaps she would need to build something else (other than the Tesseract) to utilize the space-stone's powers.

Building this might require time or resources that she doesn't have at hand in Asgard.

##Perhaps she needs (or wants) to control Asgard first

The fact that the sword has been stolen shows demonstrates to her that she has more than a bit of an insurrection to deal with at home in Asgard. Perhaps she feels she needs (or just wants) to put that insurrection down before going out to conquer.

Perhaps she doesn't have the right tools

As other's have answered, perhaps she doesn't have the right tools to utilize the Tesseract. At the end of The Avengers we see Thor and Loki use the Tesseract return to Asgard, and the Tesseract is in a transparent cylinder with handles for them to hold.

In order to use the space stone to transport her and her entire army on a conquest of the Nine Realms, perhaps she would need to build something else (other than the Tesseract) to utilize the space-stone's powers.

Building this might require time or resources that she doesn't have at hand in Asgard.

Perhaps she needs (or wants) to control Asgard first

The fact that the sword has been stolen shows demonstrates to her that she has more than a bit of an insurrection to deal with at home in Asgard. Perhaps she feels she needs (or just wants) to put that insurrection down before going out to conquer.

##Perhaps she doesn't have the right tools

As other's have answered, perhaps she doesn't have the right tools to utilize the Tesseract. At the end of The Avengers we see Thor and Loki use the Tesseract return to Asgard, and the Tesseract is in a transparent cylinder with handles for them to hold.

In order to use the space stone to transport her and her entire army on a conquest of the Nine Realms, perhaps she would need to build something else (other than the Tesseract) to utilize the space-stone's powers.

Building this might require time or resources that she doesn't have at hand in Asgard.

##Perhaps she needs (or wants) to control Asgard first

The fact that the sword has been stolen shows demonstrates to her that she has more than a bit of an insurrection to deal with at home in Asgard. Perhaps she feels she needs (or just wants) to put that insurrection down before going out to conquer.

##Perhaps she doesn't have the right tools

As other's have answered, perhaps she doesn't have the right tools to utilize the Tesseract. At the end of The Avengers we see Thor and Loki use the Tesseract return to Asgard, and the Tesseract is in a transparent cylinder with handles for them to hold.

In order to use the space stone to transport her and her entire army on a conquest of the Nine Realms, perhaps she would need to build something else (other than the Tesseract) to utilize the space-stone's powers.

Building this might require time or resources that she doesn't have at hand in Asgard.

##Perhaps she needs (or wants) to control Asgard first

The fact that the sword has been stolen shows demonstrates to her that she has more than a bit of an insurrection to deal with at home in Asgard. Perhaps she feels she needs (or just wants) to put that insurrection down before going out to conquer.