She doesn't have the right tools
Using the Infinity Stones without great care...doesn't have the best track record. Remember Red Skull? He messed with the Tesseract and got sent to Voromir, there to be enslaved to the Soul Stone for who knows how long.
For that matter, remember when Iron Man took the Mind Stone home and ended up with a robot army?
Hela is powerful. But even Thanos, whose power, we are told in Agents of S.H.I.E.L.D., is unrivaled, needed a fancy glove to properly use the Stones. If Hela tried to use it without proper preparation, she might have ended up in a worse place than Asgard, with no Bifrost.
Most pertinent, Loki wasn't even able to use the Tesseract to open a portal without the help of Eric Selvig's research. Even if there were no risk to attempting to use it, I don't think Hela could easily have gotten it to work.