Probably for the same reason people downvote when the same comment is copy-pasted all over a thread; I don't need to be linked to somewhere else in the same conversation. I especially don't need to be linked to somewhere else in the conversation that _I have already read because it is higher ranked_. Also possibly: following an opaquish link to find yourself on the very same page is annoying, and kind of the opposite of insightful, which you might be hoping for.
Well I didn't copy and paste the same comment all over, I just posted this link once. The comment I linked was also not higher ranked when I commented, as I commented right around when the original post was made. Every comment in the thread was still getting shuffled around due to upvotes and nothing was stable.