It's not the extreme North of Scotland. Thurso is closer to Edinburgh than it is to the top of Shetland. Milan and Lerwick are the same distance from London (~600 miles).
There is a lot more of the UK north of Thurso.
Yes, the northern isles are marvelous places, partly due to the sparseness of their population. I hope nobody is seriously going to start proposing building a line across Orkney and Shetland. So their inhabitants' reliance on rail travel will primarily be when they are visiting the UK mainland. Very few of them do that by taking a boat to Caithness and catching a train southwards. They either put their car on a ferry or fly to somewhere close to their destination. In that aspect they are lucky that the oil industry has supported direct flights to many destinations. (In contrast, residents of the Western Isles have a much narrower choice of routes, and mainly have to go via Glasgow.)
All of the above means that for practical purposes Caithness is as far north as railways need to look for business, and the value of a Wick - Thurso shuttle would be very limited.
A comparison with the Cornish branches also warrants comment; roads in Caithness are relatively good for the amount of traffic, and the influx of summer visitors is modest. In contrast St Ives, Falmouth and Looe all have difficult road access and get very congested in the summer. The Gunnislake branch remains in use because it crosses three estuaries which have no convenient road bridge. Newquay, and its branch line, don't seem to know what they want to be, and deserve their own thread.