Because that's another part that adds to the BOM cost and assembly cost.

SMPSes all have input stages that effectively directly rectify the incoming mains to provide the SMPS internal bus voltage. This is also a great way to basically design an inrush current simulator (diode(s) + big capacitor).

Adding stuff like active PFC correction in your common wall-wart is a non-starter. Those things are already massively cost-optimized.