Because there's no point. If I'm able to manipulate your shell environment to set aliases, I can also change your search path so that \sudo picks up the program I want. And no, you can't defeat that by only running /usr/bin/sudo because there are a million other nasty things to do once an attacker has reached this level of control.
In Bash there might also be a way to do something cunning with a 'trap DEBUG' hook to modify the command between submission and it actually being run.
Or you could just exec into a terminal multiplexer like screen[1] to intercept & rewrite/suppress both commands and output.
Edit: It's much easier than that.
The function:
echo () { command echo "hax" $@; }
will still be called by '\echo test' (The 'command' prefix stops it becoming a forkbomb :)[1] or maybe just hijack stdin/out FDs from the shell?
If the attacker was able to backdoor the system, isn't also possible they could install a modified shell that no-ops \?