Because the market is actually pretty small for expensive thermostats. I bought the original version of the Nest thermostat because I wanted to remotely control it via my phone. Most of the smart features are horrible, the AI is dumb, and the fact that controlling it depends on a server that may be EOL'd scares me.
Most thermostats are in the neighborhood of $25-$50, so $250 for a thermostat that offers marginal utility is a hard sell.
I think at some future the point the utilities are going to be more involved than they are right now.
At this point in time you see some utilities offering setback thermostats (smart and non-smart) as a way to help smooth demand during peak usage periods.
Some of the better ones run promotions and offer rebates on Nests and Ecobees, but these units still are completely dumb when it comes to talking to the utilities. My electricity provider has real-time pricing and smart meters (with Zigbee interfaces) that are connected to HQ, but there is still no way to move that information to the wall unit. They offer a 3G-connected modulation unit for A/C compressors, but that's directly connected to HQ and the consumer has no other way to interact with it other than overriding it.
If things really start getting bad out there (e.g. Texas this week^), that will be the motivation to improve this ecosystem.
Everybody who gets a smart thermostat needs to keep their old one in a box for the day the server gets EOL or the device and/or network gets hacked. When that happens, you aren't going to be able to go to HomeDepot and buy a new dumb thermostat.
Dumb thermostats will always exist. You could also preemptively wire one up right now in series with your smart thermostat to act as a safeguard against extreme settings.
Most thermostats are in the neighborhood of $25-$50, so $250 for a thermostat that offers marginal utility is a hard sell.