Because they're investing in replacing OTA TV rather than owning it, and most of the people interested in spending money on non-web TV already have cable/satellite with provider-issued DVRs.
And at the very beginning, horseless carriages were an imperfect replacement for horse carriages, but that doesn't mean that people investing in building horseless carriages should also have invested in building accessories for horse carriages (e.g., buggy whips.)
It makes more sense to invest in making the new technology a more adequate replacement.
AFAICT, an OTA DVR is very much a secondary market; it's not big enough for the big guys to justify building a box with that as its primary purpose. However, it definitely would be a good differentiating point between the available boxes.
But requiring secondary storage is probably a no-go. It's complicated and failure prone.
Which is why the best hope lies in video game consoles, which do include substantial storage. And in fact, the XBox One is gaining DVR-type capabilities in Europe. If it is successful there I hope we will eventually see it in North America too.
So while it's certainly not exactly the same, here the available apps covers the 80% use cases, which presumably makes it much less attractive to take the cost of adding lots of local storage to support the remainder.