As I wrote in my very first post, research is not like making homework. In fact, even though a PhD is the third cycle of higher education (especially when taking coursework), there is large difference between studying and doing research. Research requires a different set of skills, and you can grow up to become a "researcher" once you master these skills.
Here's an overview of the main differences between a taught course and carrying out a long-term research project.
1. Regular checks versus less control
Midterm examinations, final examinations, homeworks and quizzes all give you the opportunity to frequently check if you are on the right track. For a research project, the milestones to achieve will need much more time until completion. This might give you the illusion that you have more time, but in fact you only have more time which you need to structure for yourself.
2. Staying in the field versus going into the unknown scary woods to hunt
When studying, all the necessary theory behind the problems to solve are documented and can be relied upon. They're tried and trusted methods which will -sooner or later- lead you towards the solution of you homework problem. This is quite different for research, in which you go out in the woods and you have no idea what you'll bring home from the hunt, if anything at all.
3. Different level of intensity
I could happily sit down and study an entire day from 8am until midnight with only a few breaks to feed myself. I simply can't imagine sitting through such a long session while working on my research - after a certain amount of time I start to feel as if my brain is "fried" and pieces of my brain start to crumble down and fall like snowflakes (I might be slightly exaggerating here).
4. Level of independence
While during a taught course, more deadlines have to be met and compulsory labs have to be taken, a PhD study has much less deadlines. There is no imposed deadline for when you should go and write your first paper.
5. Additional skills
Research doesn't exist until it's documented in some way. Documenting research in papers, presentations, a dissertation and other publications requires a large set of skills (for example: academic writing, public speaking, organizing material,...). Research also requires planning skills. You might pass an exam that you've only studied the night before, but you won't finish your dissertation if you only start putting material together the night before your contract ends.