Why? Because localizing Cortana takes work.
Of course they could just flip the switch and enable it for everywhere, but then things won't be as great. Maybe it won't jive culturally, maybe the language support isn't done yet.
They're targeting the major regions right now, meaning US, China, India, etc. so I don't know if Qatar is high on that list.
I don't mean any offense, just in the remotest of cases where someone sees it as so.