Why can't I transfer specific albums from my phone to my Mac?

Apple haven't built their software around your particular use case. I'm assuming here you mean photo albums rather than music albums. In general I would recommend that you don't rely on the device as the sole repository on any content that matters. Copy it off to your computer one way or another and back up the data. Photo Album might sync through iCloud Photo Library, but there is also the possibility using that you either end up with a lower quality version in some cases, or an accidental deletion is replicated everywhere.

tt2