Same reason that you don't make pure concrete structures in Oklahoma that are expected to be permanent unless you have lots of money for an advanced foundation that can withstand the shifting clay we call the ground. Most building that are more than 20 years old have a cracked foundation, not because of a fault in its creation, but just because of how the ground shifts. You could build brick house for way more money in Oklahoma, that in the end makes no different to a tornado, assuming you were a statistically unlucky person and manage to find your house in a tornado. Or you can build a house that is lighter(wood), thus not needing a solid foundation that has to be fixed every 10 years, and most likely will not see a tornado anyway. People don't realize just how big the United States and the areas that actually get tornado is. Been here 20 years and never seen a single tornado.
The alternative would be poured concrete roofs like they do in Puerto Rico,, problem is that since we are constantly having small earthquakes the roofs develop small cracks and once a leak start it's essentially over, especially with the climate we have there with the humidity and rain and salt, wood is a much easier and cheaper thing to fix or replace
So the question to be asked, why build a brick house on a heavy foundation that will crack within 10 years and need fixing which is expensive, plus raising the value of the house so insurance costing more on top of that? Why spend that much money to attempt to be lucky enough to not loose your home from a threat that is very unlikely to ever effect you? Why not save the money on the making the house, the insurance, and allowing you to save tons of money for the off chance you are statistically unlucky?