Our solar system mostly revolves around the sun on the same axis (apart from Pluto). Our galaxy does the same (along with other galaxies). Why? Gravity is linear?
Would it matter if we tried to escape the sun’s gravity by going “up?”
It’s not. But orbits do tend to coalesce around the same plane, this is true. Planets pull on each other, and over time this results in orbits being on a similar plane. However, it’s not perfectly flat - there is some variation, just look at Pluto as a good example.
The same orbital mechanics that cause star systems to look this way also translates to galaxies.
In short, stuff likes to stay together, but when said stuff is in motion, they instead form orbits of similar inclination. The rings of Jupiter and Saturn also display this. If I remember correctly, part of that mechanism is called “Sheparding”
And if you were to go what one would consider “up” from this percieved orbital plane, then you’d be going in that direction. There’s nothing special, there’s just less stuff there. The same orbital mechanics apply, you’re just on a much more inclined orbit.
The system starts out as a big cloud of debris orbiting a central point. Each particle is orbiting in its own way, there isn’t any organization. Since there is no organization, most of these particles are going to bump into each other. This changes the speed and direction of the particles, some of them will clump together and most of them ending up gathered at the center of gravity of the entire system. This eventually gets large enough to become your star.
As the remaining particles become clumped together into larger items they will begin exerting gravitational pull on other objects. One plane of orbit will become dominant, and the remaining clumps will gradually settle down into their orbits, in the same general plane, in the same direction. Those that don’t will have their orbital speed reduced enough that the object ends up gathered into the center.
Gravity comes off the sun in 3 dimensions. The sun is a ball and gravity radiates from it in all directions. if we went up we would still be in the suns gravitational field.
Because everything is in the process of falling the same direction. It’s like if you throw a bucket of water and ask why none of the droplets went sideways.