But we are looking: there is enormous interest in discovering more interstellar objects. It's estimated there should be about ~1000 such objects in the solar system at any given time, and they all represent priceless data about the material composition of the universe outside of our solar system.
People weren't not looking for them, but by their nature no one knows a way to find them reliably (other then, find all the things, look for anything which has a hyperbolic trajectory relative to the sun).
Same problem with an intercept plan: we would like to do it, but the problem is not particularly tractable with our current space technology. Up until we saw Oumuamua we didn't even have a baseline for what we might expect the behaviour of objects to be - which is a problem when you're coming up with a propellant budget for a space mission, since you have no idea how much fuel or weight you can afford for an intercept.
As it stands, we probably need to see a couple more Oumuamua-like objects to develop a reasonable expectation of the frequency of different classes and come up with a mission-profile which we can reasonably expect we'd be able to launch at one in the next 20-40 years. Or a way of establishing a permanent capability (which is not focused research its "yes, let's build the lunar gateway station and develop a long-term La Grange point mode for the Starliner - which is also something which you'd do if you were colonizing Mars).
This is my point: nothing here benefits from "it was aliens" as a starting point. In fact, all of this useful work is pretty explicitly "it's probably not aliens". Because if aliens have gone to the expense and trouble to scout the solar system, then we basically don't need to do any of it - "it was aliens" closes research paths. If we're sure it's aliens, then a much more cost-effective strategy is waiting for them to send another probe that assuredly would move in to study the most interesting thing in Sol - us. Which will be much easier to see because we look closely for Earth-orbit objects.