I don't know why people think SE should allow you to change servers. Not very many MMOs allow that to my knowledge. Even in WoW they have server migrations but that is only from specifics servers that are highly populated to designated servers.
It would be too crazy to have people changing servers all the time, you would have people scamming others to then just transfer to another server to avoid the repercussions of their actions. I know it might be the reality for all players but it would happen, some people hold back because they don't want to lose their reputation, while others do what they want no matter what.
I would say if you want to play with friends, then either have your friend join your server or you join his server. I know if a friend changed to my server I would help him out as much as I could with gil and gear. But that is just my opinion, take from it what you want.