They ship with javascript... and a minified jQuery build is just a few more kB of code.
Despite it being ubiquitous, it is still an open source javascript library. Just a guess here but, different applications use different versions and I'd imagine relying on one version supplied by the browser could cause issues for developers using JQuery especially if their application depends on an older version of the library.
It's small, so the overhead of fetching it is minimal. Once fetched it can be cached practically indefinitely and re-used by any sites that uses the same CDN, while still making live updates possible.
Bundling it would only provide a stale version, add bloat and open up a floodgate for other inclusions.
I would imagine that it's has to do with JavaScript being a language that conforms to a standard (ECMA-262 specification and ISO/IEC 16262). jQuery is a library that sits on top of JavaScript - that is, it's just more JavaScript that makes things all ready available in JavaScript a little easier for developers to work with. jQuery also, to my knowledge, does not adhere to any standard.
jQuery is also updated periodically, which can potentially introduce different behaviors. If jQuery shipped with the browser, then a website might behave differently based on what version of jQuery was coupled with the browser. I know that standards, like JavaScript, are also updated and can introduce discrepancies, but with a standard you have a little more concreteness.