The reason the Millbrae<->SFO connection doesn't run all the time is because it's not cost-efficient to do so:

http://www.bayrailalliance.org/question/why-is-the-caltrain-...

In retrospect, an Airtrain connection to Millbrae would probably have been a better choice, but the person who pushed through the SFO BART station, Sen. Quentin Kopp, was hostile to Caltrain and had no interest in making a Caltrain<->SFO connection efficient.