There are only 256 1-byte opcodes or prefixes available, if you take 8 of these to zero registers, they won't be available for other instruction, and unless you consider zeroing to be so important that they really need their 1-byte opcodes, it is redundant since you can use the 2-byte "xor reg,reg" instead, hence the "waste'.

In addition, you would need 16 opcodes, not 8, if you also wanted to cover 8 bit registers (AH/AL,...).

Special shout-out to the undocumented SALC instruction, which puts the carry flag into AL. If you know that the carry will be 0, it is a nice sizecoding trick to zero AL in 1 byte.