What I'm wondering is... at some point, should I write my own programming language that has all those features I miss when I change from language to language?
I haven't read other replies so you'll have to forgive me if I'm just repeating what others have said, but $^#@ no.
The only reason you should do this is if you have a lot of funding behind you, a very strong core team dedicated to the job, and a reason beyond "this code writes funny."
You can't write a language that is good for everything. If you have a problem to solve and don't think any language is available that adequately solves the problem (not perfectly mind you), AND you can fulfill the other above criteria, go nuts. Otherwise, my personal opinion is that you'd be wasting your time.