I suspect it's because of SONAR's signal flow model, which emulates a classic mixing console. You can't automate gain on a hardware console, either.
Being able to automate gain, however, is very useful. For example, when doing volume leveling on a vocal track that has a lot of variance in levels. Because you probably have a compressor on the track, automating volume rather than gain doesn't work as well because the loud and quiet parts are hitting the compressor differently.
That's why I use a gain plugin (the free gain suite from Blue Cat) inserted at the top of the fx bin for manual leveling.
I'm not even sure being able to automate SONAR's gain control would have the same effect, because of where that adjustment sits in the signal flow. On a hardware mixer, the gain control is the very first thing in the signal chain, even before preamps. In SONAR, it's something like the sixth or seventh stage.