Because they didn't specifically set it up. That is just how Okta MFA over LDAP works: https://help.okta.com/en-us/Content/Topics/Directory/LDAP-in...
Also people just forget. Some people may only need the VPN once per month and in that time they forget about this weird login flow. They just assume they typed their password wrong or that they lost permissions to the VPN or something.
How would users not know to check their phone? They had to specifically set up this MFA method.