Couple of likely reasons:

1. Process limitations (no high voltage devices, poor analog characteristics, limited resistor choice, etc)

2. The skill set for power device/analog IC design is very different than digital design (and harder to recruit for as the talent base is relatively small).

3. On chip power converters universally suffer from poor inductor quality which trashes your efficiency (thus increasing cooling demands as well).

From a business perspective it would be quite risky and likely not cost effective.