Ask a Magic Judge

Because of a lovely little thing called dependency. 

Normally when two or more effects want to apply to an object in similar ways (e.g. setting or changing type, granting or removing abilities, etc.) we just apply the effects in timestamp order. That is to say that we apply the oldest effect first, followed by the next oldest, with the newest effect being applied last.

However, sometimes applying similar effects based purely on their timestamps leads to unintuitive results, so we use the dependency system to resolve these interactions.

When applying one of the effects first would change what the other effect(s) apply to, how they apply to them, or make another of the effects not exist, then the second effect is said to depend on the first effect.

For example, you control Dralnu’s Crusade and then resolve Conspiracy with Goblin as the chosen creature type. As long as you control one or more creatures that’s not naturally a Goblin then Dralnu’s Crusade’s type-changing effect depends on Conspiracy’s type-changing effect. This is because applying Conspiracy’s effect first changes the set of objects that Dralnu’s Crusade’s effect applies to.

(Note that dependency can only exist within a given type of effect. Two effects can have dependency in one layer but not in another where they also both apply.)

Back to Blood Moon and Urborg: Urborg’s ability depends on Blood Moon’s ability since applying Blood Moon’s ability first causes Urborg’s ability to no longer exist. So, because the dependency exists, we always apply Blood Moon’s effect first.

As for Magus of the Moon becoming a land, which would probably involve weird cards like Life and Limb and Xenograft… Well, it’s actually not that complicated in and of itself. Magus of the Moon would apply its ability to all nonbasic lands, including itself, making them mountains and removing their abilities. However, we’ve already started to apply Magus’s ability, so the fact that it no longer exists simply doesn’t matter.

Yes, this is all Really Damned Weird™, but honestly it almost never comes up and it exists to make these situations make as much sense as possible.