Probably because some of them are terribly designed, e.g. almost every lower-end ASRock board has what are little more than aluminum slabs, with few or any cuts, making them more heattraps than heatsinks due to almost no additional surface area. I guess it also comes down to the quality of the included thermal pad and how much case airflow there is, but in general most factory sinks are ok and not really any worse than leaving the drive bare. I think this mattered a bit more back before mfgs started including those integrated heatspreader-like labels that have foil in them to help greatly increase heat dissipation with even the slightest bit of airflow pointed at them.I use them.
Why would they do more bad than good?
This has been tested, as long as your flash basically isn't actively chilled (far below ambient) it won't make a difference.Yes I use the heatsinks on my x570 board.
Ironically, the flash memory actually prefers higher temperatures. The main reason for using a heatsink is the SSD controller, which is basically like any other processor in that it generates heat and will throttle if it gets too hot. If using a heatsink means the difference between your SSD controller throttling or not, then that would make it more than worth it.
So you want to make sure that the heatsink is pulling heat from the SSD controller, but it's actually counter-productive to cool the flash modules. Usually you don't have that much granular control over what the heatsink cools, but it might be a consideration regarding where you put the thermal pads. If your SSD controller is staying cool even without a heatsink, then you might consider leaving the heatsink off and allowing the flash to run at hotter temperatures (again, the flash itself prefers higher temperatures).