Most likely because of the same legal issues that got them slapped wrists and fines because of the way IE and Windows Media Player used to be so baked into Windows. Now in the EU they have to have an update download that offers users the chance to use browsers other than IE, and in some countries they aren't even allowed to sell full blown Windows - they can only sell an 'N', 'K, or 'NK' edition which doesn't include Internet Explorer and Windows Media Player, respectively.
Bundling Skype into WP8.1 would get them into trouble in the EU for the above reason, unless they offered a list of alternatives, or be forced to offer an alternate version of WP8.1 that doesn't have Skype preinstalled. It's just easier and much less of a headache to have it as a separate download.