If anyone ever asks "what CMS do you use?" I say "I use XenForo" and then tell them what it is, what it does, and if it will work for them.
I believe XenForo IS a CMS that only needs XFMG integrated as the media manager for the entire forum. That way we can use videos IN threads really fast and easy, giving very rich content based threads (which people love). What else could you possibly need that isn't met by one of the zillion addons?
The benefit to a XF CMS is it creates a central add-on for developers to develop additional widgets and add-ons for, not to mention a company like XF is more likely to stand behind their product than a developer that is selling the add-on.
So to answer the question on why doesn't XF create a CMS I think it is pretty simple, let me walk you through it.
1) Would XF set out to create a CMS that would not be best in class?
Answer: No, XF always tries to create the best product possible
2) What is the best CMS available?
Answer: Wordpress is the most wide use platform on the internet
3) Are the XF developers of creating that type of caliber CMS
Answer: Yes, why not
4) Would XF be able to provide a price advantage for using XF CMS over Wordpress
Answer: No, Wordpress is FREE
5) Would users still buy the XF CMS over Wordpress?
Answer: Yes, because it would be fully integrated
Let's review:
XF would need to create the possible CMS on the planet to meet their own expectations and they would be competing for best in class against organizations that give away their CMS. While maintaining this best in class CMS the XF team would also need to be maintaining XF 1, XF 2, RM and Media. It would appear the challenges are XF would need to hire additional developers and at least one of the developers would need to take on more of a PM role. IF XF is successful in creating a CMS that lives up to their forums then they would crow their business and tab into a new market. If XF was not successful in not only creating a best in class CMS but also maintaining their exist platforms it would tarnish their image and they would be compared to IB. Users would also blame waiting on bug fixes / new features in existing XF software on XF developing something most would never use,.
In conclusion XF likely isn't developing a CMS because they feel the risk is not worth the award, or they aren't into making money. I am going with the first conclusion.