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Quite a few early ICE's were constructed as individual cylinders on a common crankshaft too.
Reasons that it is not usually done would include:
Arranging coolant flow is more difficult.
The engine is longer and heavier because fasteners (and the corresponding bosses on the heads) cannot be shared between cylinders.
It would take longer to assemble on a production line.
Screw on heads is an interesting idea. Indexing the alignment of the head and cylinder might be difficult though.
It's not quite the same, but screwing cylinder liners into the head has been tried.
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