there is always a reason developers don’t include functionality
in this case its likely, this is because sysex is handled differently on USB to other midi messages, all other midi messages are sent as fixed 4 byte packets for one message.
to receive sysex you need to handle multiple of these packets, with different header types, which allows the arbitrary length sysex to be ‘chunked’
this means to send usb midi ‘thru’ to midi din, you have to parse the packets and then ‘repackage’ it for the serial din.
rather than midi din (which is serial), where midi thru, is simply a matter of sending the data thru one byte at a time, without any care of what it contains.
its not that difficult, but it is extra code
(and extra code = development effort, which has to be prioritised against other functionality)
oh and you have to be careful that your design does not require you to cache the message anywhere e.g. ring buffers, as sysex can be arbitrary size, so could cause memory issues - so this could mean the design has to change/be adapter to do sysex, which could be more work.