Why did Jefferson not want to give these men the commissions to which they were entitled?

Thomas Jefferson was afraid his Federalist policies would be erased by the Anti-Federalist judges.

Another View:

Thomas Jefferson was the Anti-Federalist; the six members of the US Supreme Court were Federalists. Jefferson may have been concerned about the effect of the Judiciary Act of 1801 on his government policies, because that legislation expanded the Judicial Branch and allowed former Federalist President John Adams to "pack" the Article III "constitutional courts" with members of his own party. Judges and justices of these courts serve "during good behavior," which typically means "for life," so they posed a legitimate threat to Jefferson's policies.

Marbury, on the other hand, was appointed to a five-year term as justice of the peace for the District of Columbia under the Organic Act of 1801. Adams had appointed more than forty men to serve in this capacity, probably as a matter of patronage (essentially rewards for major political supporters) because the positions held no judicial power. They posed no threat to the Jefferson administration. Jefferson allowed approximately 20 of Adams' justice of the peace commissions to be delivered (plus five new appointments of his own), but he reportedly thought Adams had made an excessive number of appointments, and reduced the number by approximately half.