Because it would add cost to a product that affects only a very small amount of customers (the ones that can't even tolerate a gram or two lactose in their shake). Those customers can also just add lactase themselves, just as people with a higher fiber requirement can add more fiber.
Also adding lactase to your food when you're not lactose intolerant can cause lactose intolerance as the body is no longer stimulated to produce it itself. This is also why adult lactose intolerance is sometimes caused by abstaining from lactose containing products for a long period of time.
