Before the Internet arrived, very few people had a big need for it. It makes some things marginally harder, and it's more work to implement, so it makes sense that it got left off.

By the time the Internet generally arrived, and people generally realized what the Internet meant, we had accumulated enough backwards compatibility burden that sweeping architectural changes were difficult.

Never had access to those that could give an informed answer. As cliffban says, probably not much of a need. But if I had to pick a reason, and it would be a reason based on no inside knowledge, it's that the 8086 was a stop-gap design until the Intel iAPX 432 came out. The 432 had a lot of capabilities that mainframes took for granted, including segregation between data and executable code. Problem was that the 432 was so over-designed (which made it slow, for one problem) that it never saw production. So everyone just kind of settled on x86 and close to forty years later we're stuck with the 8086 legacy.