Limited development resources, more important features to work on, multiple cameras not yet in stable versions, easy to do in post, would never be able to be done well, and a number of other reasons. It has been explained more thoroughly on probably a dozen other feature request threads.
Also limited camera resources. I don't think you would have much luck processing a 3+ exposure 18mp HDR image on a 400mz desktop computer with less than 5mb of free memory. Honestly the models that have the feature built in from Canon do a pretty terrible job at it as is, particularly with the alignment part of the process.
For info exposure fusion preview, read
this section of the user guide.