There are several reasons:
1. Most bmx axles are in the 3/8" and 14mm range, which is larger than quick release is designed for.
2. Many riders have pegs, which means the quick release wouldn't work with it.
3. If a person rides street, they are likely to destroy the quick release mechanism in a single session. It's just not durable enough.
4. Because riders pull their feet off and move them around the bike, it is possible, though not likely, that they may inadvertantly hit the quick release mechanism mid-trick.