It could be for a variety of reasons:
Oversight - they could've forgotten
Laziness - they don't want to
Priority - Other features were more important to get in and will be implemented later on
Also, custom notification sounds are only supported in a specific GDR (I don't remember which one) so to implement it without breaking phones with older WP8 devices that isn't up to date, they have to check for the version number and handle the logic when to send the proper push notification with the custom sound. It's easier to just not do that and let the default OS sound play.
If you have WP8.1 though, maybe you can find the sound file online somewhere and set it for that app under "notifications+actions" in settings.