It would be great if you could set up a toll road so if another player or AI uses your road. They have to pay a toll to use it.
What's the game play advantage? Why would I do that if I can build a road just adjacent to that?
It works that way in the real world as well. Wherever there is a toll road, it's not uncommon to find a free road nearby to bypass it. But, also, in the real world the reason a toll road exists is because it offers something better in exchange for the rate: more direct route, faster speeds, limited traffic. There are no such advantages within OpenTTD, and as Planetmaker pointed out, competitors are just as free to build any route they want as you do. In reality, routes are restricted by a lack of funding to build roads and transform landscapes, local, state and federal regulations, environmental concerns, etc.