What would you have them do? I know many people wanted it shot down over Montana, but even the most rural places have more people than you'd think. If they had shot it down and it had hit someone/something, or even come close to it, it would be a complete disaster.
How about shoot it down over the Pacific as it entered American/Canadian airspace? People act like it just showed up in Montana without any warning.
What information could the balloon collect that satellite or cars on the ground not collect? Air samples?
Someone in another thread said "I think the purpose for sending the balloon was primarily to analyze the radar and RF environment on approach to U.S. airspace.", which would be something dependent on reference point and not able to be done from satellite or cars.
They could much more easily do that with an actual commercial aircraft.
Possibly an Operation Sea-Spray[0] like biological weapons test? Not sure how they would do it exactly, but possibly some sort of stimulant in the form of an extremely fine powder.
Im almost certain that they would have heavily tested and analyzed the balloon and its payload as soon as it got near the US to ensure that there were no unusual emmisions coming from it.