Are ORMs simply a bad tool for creating complex DB-structures with many associations?
No. As an example, Ruby on Rails uses ActiveRecord, which handles associations. In the example here : http://stackoverflow.com/questions/5109893/rails-how-do-self-referential-has-many-models-work , the tree-like structure is accomplished with 2 lines of code.
So I would argue that it is waaaaay easier than trying to roll your own sql queries.
Does majority of web applications work with rather isolated entities that play well with ORM, or why is that?
Probably not, but that's just guesswork. The ORMs exist in an ecosystem where they are thriving, suggesting that they are being used. I have used ORMs for systems with over 20 associated models and found them to be fine. I have never forced the objects to be isolated with only message passing.
As a summary opinion, if you are making "complex" ERD models, there is no tool that makes them easy. Only tools that make them work.