You could ask the same questions on every scale. Why have lungfish not "evolved" into something else since the Devonian? Why have ferns not evolved flowers? Why have lampreys not evolved jaws? Inuit, a thick fur?
The precise answers probably change with the situation, but there are two broad reasons.
First, they didn't need them. Someone's also said this: every problem has more than one solution. Inuit didn't re-evolve fur because they could wear other animals' fur instead - and that was much quicker than any genetic adaptation. Lampreys don't need jaws to function as parasites.
Second, the right mutations just didn't come. Mutation is random, it doesn't follow your wishes or needs, and some changes may require many or rare mutations and lucky coincidences.
This is the case with the citrate-eating E. coli: it's likely that "potentiating" mutations were needed to evolve the ability. While most strains didn't have the right stuff, the one that originally gave rise to the citrate-eating bacteria was more likely to produce them again when they "replayed" the experiment from earlier, frozen generations. It was a matter of sheer luck.
And often you don't strictly need a certain novelty to survive, even though it gives you an advantage in your current environment and/or access to new territory if you have it. That's probably the situation with fish and legs. Fish are fine in the water, some of them are fine in shallow water. They don't exactly
need legs. But once they have something similar the land awaits.