Capacitors can be embedded in chip packages, but it adds cost, size and complexity. Bonding two chips inside of a package increases the overall size considerably. You would have trouble connecting from the main IC to pins on one side of the chip, crossing over the capacitor, for example.
Every production board will have capacitors in other places, so removing one of them at the expense of increasing chip size and PCB area isn't a good trade.
For high density designs with high budgets, you can embed capacitors and other passives directly into the circuit board in cutouts. You can also use special capacitance layer substrates to form a big distributed capacitor between two copper planes in the PCB.
There are a lot of options out there, it just doesn't make sense in most cases because putting a capacitor that costs less than $0.01 around the chip is trivial.
Most of the advanced chips (the 16 nm that Xilinx uses for UltraScale/+ and below) are flip-chip wafers and have an interposer which is basically a very dense PCB that helps fanning out the extremely dense and small pitch of flip-chip bumps. They will usually include extra low impedance ("landscape" orientation) capacitors on the substrate, which leads to much relaxed PCB decoupling requirements.
Having designed FPGA boards with both their 7th generation parts and their Zynq UltraScale parts, the internal capacitors are such a time and cost saver in terms of being able to fan out more signals without more PCB layers
I can also attest that even relatively "slow" chips like 14 nm FinFET MPUs from Renesas have decoupling caps on the substrate
I'm looking at the newest versal chips from Xilinx/AMD for a new design and buying a SoM & designing our carrier board could fit the bill nicely. We're still very early in the design process, we need to get prices for the chips too to see if it's an idea worth pursuing.
Every production board will have capacitors in other places, so removing one of them at the expense of increasing chip size and PCB area isn't a good trade.
For high density designs with high budgets, you can embed capacitors and other passives directly into the circuit board in cutouts. You can also use special capacitance layer substrates to form a big distributed capacitor between two copper planes in the PCB.
There are a lot of options out there, it just doesn't make sense in most cases because putting a capacitor that costs less than $0.01 around the chip is trivial.