My guess is that the Night Shift feature depends significantly on the color profile, various options (color temperature, gamma, contrast, sRGB setting, etc.) and calibration of the display.
With their own displays, they have full control over that in software, and can produce expected results. It'd be much harder to have predictable results with 3rd party monitors that users configure themselves, so Apple probably opted to outright not support those monitors.
It's also a lot easier to test the feature on a limited combination of hardware.
Was about to say basically the same thing, since f.lux works by dynamically altering the colour profile (which results in interesting bugs and glitches here and there). They've been going out of their way to make things work across the board.
I had to stop using f.lux on my Mac Pro because of this. Every five minutes my screens would blink as it adjusted the color profile. Not quite worth it!
If for some reason Night Shift were to cause a similar problem, Apple wouldn't want to put effort into fixing it if it happened with third-party displays. By having an official list, they're free to tell people having problems with other hardware "tough luck, sucks to be you."
With their own displays, they have full control over that in software, and can produce expected results. It'd be much harder to have predictable results with 3rd party monitors that users configure themselves, so Apple probably opted to outright not support those monitors.
It's also a lot easier to test the feature on a limited combination of hardware.