It's very easy to understand why monsters don't have criticals : To make the math more reliabe against the PCs.
The designers probably have a pretty good idea of how many rounds a PC of a given level with typical defenses for his class is supposed to last against a specific monsters. It makes it easy to balance encounters. But if the monsters can get explosive criticals, things suddenly becomes very swingy and encounters that were balanced can slide into TPK territory with ease because of a few lucky hits.
3e was especially bad at this when it involved, for example, villains with axes. It was like playing the lottery. Most fights were fine until that one where lucky DM rolls led to a PC getting hit for triple damage twice in a round...
And you know it's gonna happen to the PCs sooner or later. A monster is there for just one fight but the PCs are there for the long haul. Probabilities man, sooner or later, it catches up with you. It'd be kinda nice not to die just because of that. Not in a game, anyway.
IME, PC death in 4e have all been caused by bad tactics; you can pin point the errors that caused the downfall of the PC. In 3e you could also die of bad tactics, of course. But then again, you even more commonly died of bad luck. A failed disentegration save. A lucky critical from the great axe giant. That sort of thing. Not the best way to die in a game, IMO.
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Also, PCs tend to have less HP then monsters. One more reason not to increase their damage willy-nilly with no aftertought.