I don't see why Wobbuffet is so out of the question. However, that's a different question for a different thread.
Let's first consider Deoxys-S's main forms of offense: Psycho Boost and Superpower. If it uses Superpower, that means it has -1 Attack and -1 Defense. I'll go over the -Def part first, because that's something I've seen mentioned. As soon as you use Superpower, those mediocre defenses (and virtually 0 resistances) become utter garbage. This means several Pokemon now have a OHKO on it, and it's particularly vulnerable to Pursuit (Metagross, anyone?).
The other part of Superpower is more often overlooked, but is likely more important. Superpower isn't Close Combat--you lose Attack. If you try to Superpower Blissey and they switch to a Fighting resist, you suddenly lost your 2HKO on Blissey. If you bring in Blissey on anything but Superpower, Deoxys-S can't safely stay in and go for the 2HKO, anyway. If Blissey uses Wish (with Protect) or Softboiled, you're in trouble because now you can't 2HKO. If it uses Toxic, you're suddenly losing HP to Life Orb, Toxic, and the possible Sandstorm, Stealth Rock, and the like. If it uses Counter, you're dead (which is obviously bad for you). If it uses Thunder Wave, Blissey is now faster and can heal, and your Deoxys-S might as well be dead (this is even worse than if Blissey used Counter, because it gets a turn to recover for free, as long as you don't stay in and Superpower CH).
The same problem applies to Psycho Boost, only magnified. You get -2 Special Attack, and this doesn't just affect Psycho Boost, it also hurts your HP Fire / Ice Beam / Thunderbolt / Shadow Ball. Once it uses Psycho Boost, the amount of counters multiplies. If it lacks Psycho Boost, it loses a major weapon in its arsenal.
There are also more counters than the Steel / Psychic types. Consider Celebi. With 239 Special Defense (12 EVs), it's 3HKOed by +Special Attack, 252 Special Attack EVs, Life Orb Deoxys-S Ice Beam. Celebi, meanwhile, can Thunder Wave you, or, if it switches in on anything but Ice Beam / Shadow Ball, just use Leech Seed and stall. If it wants, it could spam Recover, because you are as likely to kill yourself with Life Orb as you are to get a CH (if Deoxys-S is at absolute max HP, it has a 51% chance to CH Celebi before it runs out of HP thanks to Life Orb. If I wanted, I could do the calculation to be the chance to CH or Freeze until it's in KO range from Celebi's U-turn or Grass Knot).
Blissey, as I mentioned above, can take on Deoxys-S with a bit of prediction. Cresselia can Thunder Wave or Calm Mind up. Any sort of Choice Deoxys-S is highly vulnerable to Pursuit (it's even worse off than Starmie, especially when you consider that its STAB move does 0 damage to the most common Pursuiters, barring Heracross, who can come in on anything but Deoxys-S's STAB move). Paralysis in general screws over Deoxys-S, taking away its one good stat. If it's burned, Superpower isn't so useful, and Toxic limits its staying power.
Bronzong, Metagross, and Jirachi do a good job of stopping it, too.
There's also another factor you are overlooking. Good luck switching Deoxys-S in. It has roughly the same defensive ability as Lucario, except you lose the nice resistances. It's like switching in Azelf, except you don't have Levitate. In other words, it's hard to bring in.
"Slightly" bulkier? It has useful resistances, Intimidate means it can switch in on actual physical attacks, and it even has an immunity to Ground. It's only "slightly" bulkier if Tyranitar is slightly bulkier than Weavile. Your bias is showing.
Interesting you picked Azelf. Deoxys-S is almost identical to Azelf in its ability to take hits (just a fraction of a % different). Unlike Azelf, it doesn't have a trait that lets it come in on one type of move for free.
What's the point in allowing Garchomp? What's the harm in banning it? What's the point in allowing Blissey? What's the harm in banning it? How about Azelf? Skarmory? Weavile? Pineco? The default should be allowing Pokemon, not banning them. It seems to me that your real problem is that you'd have to change your team. The problem with that reasoning is twofold. First, any decent Pokemon would cause changes if it had been banned, and then were allowed. If Blissey were uber, and then was allowed now, you'd be complaining "My Specsmence isn't sweeping everything! Blissey is uber!". Second, eventually the metagame will shift such that your team likely will need changes, anyway.
Mew is far superior to Deoxys-S. Mew has high defensive stats, and it can Baton Pass Nasty Plots (it also has Hypnosis). Imagine the main threats from Togekiss, remove Paraflinch, add sleep and better attacking options, and give it more Defense. I'd also consider Manaphy to be superior to Deoxys-S. The only currently uber Pokemon that I believe to be worse than Deoxys-S is Wobbuffet.
If Deoxys-S were uber, then the top players would have Deoxys-S on their team, meaning it would have a very high weighted rating this rating period. In fact, I'd argue that if an OU Pokemon has a low weighted rating, it is virtually impossible for it to be uber. The reason for this is simple. If the Pokemon is uber, then players who use it will usually beat those who don't. Give a mediocre player a Groudon and he's almost certainly going to sweep even a good player's OU team. For this reason, players who use Deoxys-S will have higher ratings, on the average, than those who don't (ignoring the complete newbies here who'd use stuff like Psychic, Psycho Boost, Zen Headbutt, Dream Eater Deoxys-S or whatever). Moreover, the better players are more likely to recognize how powerful Deoxys-S is, and thus are likely to use it. All the top players will have it, and then all the really weak players will copy them. In other words, it will be shortly obvious that it is, in fact, deserving of being uber.
You can't have a centralizing force that no one uses.
This is not how Deoxys-S has played out, however. I have encountered very few of them. 3 of my Pokemon carry Paralysis moves, so the very few I've seen (I'm trying not to exaggerate here, but it's a pretty rare Pokemon...) haven't done much.
I'm going to take the time to explain why unbanned should be the default, and Pokemon should only be banned after it's known they ought to be, not the other way around. I just asserted it earlier, and here's my support.
If a Pokemon is deserving of being uber and it is put in ubers, then woohoo, we got it right. If a Pokemon is not deserving of being uber and isn't put in ubers, then woohoo we got it right. Both of these scenarios are irrelevant here. If a Pokemon should be uber and we let it in OU, then it becomes immediately apparent. If a Pokemon shouldn't be uber and we put it there anyway, then it's possible to never realize its 'proper' tier.
