"Not enough time" and "harder to do inference" are bigger reasons. It's hard to see why cross validation would do worse than the AIC or BIC for lag length selection in VARs, the bootstrap is widely used for inference for all of the models you mentioned, IV isn't known for its exceptional small sample properties, etc. People are working on this stuff, but it takes a little while to get it to work well for Econ research, and it takes some clear new empirical findings before it becomes mainstream enough to teach it in classes. Everyone recognizes that there's a lot of promise, though.