Because:
- not all people can manage that sort of thing.
- unlocking that kind of power can take time, time people don't have.
- they've been manipulated into a bad situation.
- someone or something is blocking their access.
- it never occurred to them to try something else.
- it's socially unacceptable for them to choose that path.
- it doesn't fit with their abilities, skills, and/or personality.
- they started on such a path (e.g. Warlock or Wizard) first.
- they tried the so-called "easy" path and didn't like it (or couldn't use it.)
- it isn't an option for this specific character (e.g. maybe warforged can't be druids.)
- they ARE a cleric/paladin/whatever, but it isn't enough somehow.
- they lost their old powers somehow, and this is a ready replacement.
- they were a Cleric/etc. before, but they retired and picked up a new skillset.
I could keep coming up with these all day. I hope a baker's dozen is adequate to demonstrate that there are ample reasons.
Personally, I find the "god pulls the plug if you've ever been naughty" thing incredibly tedious. It's much, much more interesting to have a far more complicated relationship between faith and power, e.g. 4e's Investiture concept, where the church has to be
picky about who it offers Investiture to...and the people who go astray have to be
hunted down, not "all heresy is instantaneously nixed because Divine Sugar Momma cuts you off the instant you misbehave." Suddenly, churches have to
care. People who stray in small ways can go a long, long time without ever having a problem. Actual traitors can rise incredibly far through the ranks if they're careful. Divine "internal police" are something that actually has to have
effort put into it. Etc., etc., etc.
Far more, far better stories than "god pulled the plug" could ever produce. Because there's literally just one story there, and it only has three endings: you lose the powers for good because you were naughty, or you get them back for being a good little child, or you get a new deific parent who lets you break curfew and smoke if you feel like it.