Because it's really not much of an advantage. Seriously.

When it comes to a AAA game the big three sellers are Xbox, PS3, and PC, in roughly that order. Two of those use a D3D API that's very similar and PS3 uses something called GCM[1]. All of these have vendor support and tools that leave OpenGL, on any platform, in the dust. For example: in PIX (D3D Debugger) you can actually click on a wrong-looking pixel and see everything that contributed to its rendering. It's freaking amazing.

Developers who are investing millions of dollars in making a game will generally be picking at least two of these platforms, usually Xbox & PS3, or Xbox and PC. Even if the game was PC only, or PC & PS3, picking OpenGL means you're leaving a lot of productivity on the table over the course of your development lifetime.

But here's another reason - if you later decide that you want to release an iPad/iPhone/Android version of your game, or build something for these platforms using your engine, then porting the rendering code that draws meshes or sprites[2] is going to be one of the easier parts of that process.

The hard part is figuring out how to reimplement features that lack hardware support or performance on the new platform. Even if your original engine was built using OpenGL, the chances are you'll be writing whole new code paths for something like shadowing anyway. The "write once, run anywhere" theory behind OpenGL is largely a myth when it comes to shipping anything of complexity on two different platforms.

[1] PS3 does/did have something called PSGL that had an OGL-like API, but it's performance is poor and no one uses it. Back in 2006 there was even something of a developer revolt when it looked like this would be the only available API. Wii's graphics library, GX, is similar-ish to OpenGL but with lots of extras. Ditto DS/3DS. PSP and NGP use custom APIs.

[2] If you've put any degree of thought into your engine, all of this code will be in a separate lower level driver-like layer that can be reimplemented for new platforms as needed without changing something like, for example, the code that draws your HUD.