Why is not every 45 degree line considered for the rectangular grids?

(In the hexagons, all lines are considered even if they don't have the maximum length)

(PS: make sure you hover your mouse over the diagrams)

Interesting observation. That's simply part of the usual definition of a magic square, and it does indeed feel arbitrary once you compare it with the hexagon case, which is very symmetrical. I first learned about magic squares from math books as a kid, about 25 years ago, and just accepted those rules as given.

Upon a quick research, there are many variations, and the closest to what you're describing is the "pandiagonal" magic square, where additional diagonals are considered (except they wrap around the edges of the square in a slightly funny way, so that every diagonal still contains exactly N numbers): https://en.wikipedia.org/wiki/Pandiagonal_magic_square

The shortest 45 degree line in a magic square is a single cell, making it somewhat tricky to add up to the same total as the other lines.

In the hexagons, 30-degree lines could be considered as well — there might even be solutions when treated analogously to pandiagonal magic squares.

Why not every line of knights moves too? Because the cells aren't adjacent I'd say. (Both immediately make the problem unsolvable since all corners must match).

Seems "unfair" that hexagons have multiple line lengths to consider. I think this article's modification is a good one in that framing: Shifting every number up or down doesn't make the magic squares any easier, but it certainly helps with hexagons.