Why do some towns not allow anything to be built?

In Might and Magic Heroes VI you can build all sorts of buildings in your main town. The most important buildings are the ones that generate new units to recruit.

How come even though I have conquered other towns, they do not allow me to build any buildings in them? The icon with the pick and wood simply does not appear in those towns. What do I have to click on to start building things there and make those productive towns?

It is very annoying to have my hero walk all the way to the beginning of the map to my only real town just to get more units.

Some towns are limited in terms of what they can build and how far they can upgrade. This is just part of the setup of the scenario. I'm not aware of any way to tell what these limitations are prior to capturing the town.

Per chance are you in the second part of the tutorial campaign? The forts in that mission can't be upgraded with any recruiting buildings. But the first town that you take (the one directly south of your capital) can, as can the necropolis town controlled by the green units. Better yet, if you convert them to your faction, you can recruit all of your units from them, even the ones that are being "produced" in your capital. This makes for much less walking around to collect units. You can also use a secondary hero to go back to town, recruit units, and then deliver them to your primary hero.