If I had to guess, it's because terminals don't know what a cursor is. From the terminal's perspective, it is just told to print a solid blinking block at a certain location. Neovide knows what the cursor is because it is communicating directly with Neovim.
A terminal could do this, but there would need to be direct integration into Bash, ZSH, etc.
A terminal could do this, but there would need to be direct integration into Bash, ZSH, etc.