Because third party lenses cannot leverage the camera body to update.
Sigma has a dock that allows updates to their lenses in this fashion however.
You can update sigma lenses through Sony camera bodies but it requires running a program on your desktop with the camera plugged in and it’s a bit of a pain. Especially on macOS where it requires enabling kernel extensions.
Would have been nice if Sony just let you drop a file on the sd card to load an update.
Only for their old "Art" lenses, the modern "Contemporary" lenses can leverage the camera body update mechanism and only need a file on the SD card containing the firmware update.
I suppose it depends on the system? I have updated Sigma, TAMRON, and XiaoYi lenses on my Panasonic and Olympus MFT bodies, as well as Panasonic and Olympus with each other: https://support.jp.omsystem.com/en/support/imsg/digicamera/d... (Sadly not an exhaustive list. I have firmware for several more lenses stashed away in my archive, but the upgrade mechanism is the same.)