why 'un œdipien complexe' is not correct?

Cc, 

this is an adjective derived from a proper noun - Œdipe - and therefore goes after the noun. See section 3 of the lesson for discussion of this.

 Adjectives usually go AFTER nouns in French (Position of Adjectives)

If you are asking why the rule exists, that is just the way it is .

Also below, links to word reference 

https://www.wordreference.com/fren/%C5%93dipien

 https://www.wordreference.com/fren/%C5%92dipe