Because their own can solve their problems better. Note that the Cloudflare reference is "used to" - just because you can use nginx at scale doesn't mean it's the best, and all such deployments aren't running stock nginx, and not nginx alone.
Different needs for different usecases where NGINX is more of an OOTB situation. NGINX is great. I see Caddy mentioned quite a bit, believe it’s written in Go where NGINX is written in C. Cloudflare wrote Pingora in Rust IIRC and I want to say they are releasing an open source flavor