Cost, the politics of the people involved, and that there would be no real need for secrecy around it (but lots of need for marketing) so we'd probably know about it. It frankly doesn't seem like it would be that useful either... the US knows how to build weapons of mass destruction.
I have to disagree. For the sake of argument say Elon Musk had his own personal, uncensored SOTA model. He has the cash and politics to make that a realistic goal. Would people want him to have that? Not really, hence secrecy as well.