Because snowflake doesn't build foreign key indexes. Imagine clickstream data where every insert is being checked against an index of customers. This isn't a typical usecase for big data warehouses.
There are plenty of reasons why MPP databases allow the definition of constraints but don't enforce them. I'll list two: 1) BI tools can use them to optimize joins 2) Data modeling tools can use them to reverse engineers models without having to pattern match the keys.
That said, Snowflake does support constraints if you use hybrid tables (a preview feature announced at their last conference).
