There's rarely an "evolutionary reason" for a trait not developing. Wings would certainly be a net benefit to mice survival-wise; but unless there's a strong evolutionary pressure for such a trait to develop, it's unlikely to appear.
It's the same for asexual reproduction: unless there's a strong advantage for a species to reproduce asexually, it's likely not going to appear.
In other words, evolutionary selection is really about the strict minimum needed for a species' population to thrive; evolution selects, but it doesn't optimize.
You also have to account for things that are hard to predict: even though on paper it seems like asexual reproduction would lead to a higher chance of propagating genes, perhaps in reality the lack of diversity in the resulting offspring would be negative to the species' survival (or while it sounds like mice developing wings would be an advantage, in reality the energy needed to develop wings would make it a survival disadvantage).
An interesting case were these rules are "suspended" are in closed ecosystems where certain species have no predators and plenty of sustenance; e.g. paradise birds in pacific islands, which can develop completely superfluous feather patterns and attributes at no evolutionary "cost".