Q: Why wouldn't God let us all be Christians in the first place?

Doesn't he want us to be all in heaven and rejoice with him since we are all children of God?

I've answered a similar question, "If God can change the non-Christian's heart, why doesn't God just make everyone become Christians?" so read that first. As to your question, let me answer in sequential points:

1. God created us to have a relationship with Him.
2. God also created us with free- will. Free will is the ability for a person to make choices that determine his actions.
3. With the ability to make choices comes the ability to sin (i.e. do things contradictory to the will of God)
4. Like everything else in life, sin has consequences. The most devastating consequence is separation from God. When we sin we have effectively severed our relationship with God.
5. God sent Jesus to restore that relationship by paying the penalty for our sin. When we trust in his sacrifice for us; ask for his forgiveness and repent of our sin, God gives us new life, new hope, and a new family. We become His children, rejoicing in Him on Earth and in Heaven.

[Answered by Pastor HM]