Maybe because some highlights aren't important & saving them would just underexpose the important areas of the shot? Which is why I usually use this to keep the important whites white: Need an exposure crutch?
Perfect, then you would just spot meter over the highest lights you are really interested to preserve, and let the camera allocate them to the right of the histogram, blowing any pixels with higher luminance than those you spot metered. It's the photographers's decision whether to preserve the entire scene highlights, or just some of them in order not to underexpose the main subject.
Besides all that, we must know that ALL shots that we consider perfectly exposed to the right (i.e. where histogram is to the right but highlights have been preserved) have actually some pixels blown, it's simply the number is not high enough to be noticeable.
In my example pic from the Namibia desert more than 5000 pixels had the G channel blown: Burnt {R;G;B} levels: {90;5137;163} -> {0%;0,1%;0%}
but they didn't affect at all the gross part of the information which started 1/4 f-stop later. Looking at the histogram it's clear why: 5000 pixels in a 8Mpx camera are negligible. And this has to be this way, otherwhise to preserve strictly all highlights pixel by pixel, we would ALWAYS get a terribly underexposed image.
In a ETTR exposure mode the % of pixels that are allowed to be blown would be a fantastic user parameter. We would set for instance 0,1%, and the camera would calculate exposure to force that 0,1% of the pixels, not more not less, would be blown. For instance DCRAW has a -b parameter which sets exactly this when developing any RAW file, with dcraw -b 0.1 the program calculates the exposure correction needed to force 0.1% of the image's pixels to be blown (white), so overall exposure in the image is adjusted properly if the user accidentally underexposed the shot. I claim it would be great to have this in-camera so we let the camera make sure the that the RAW file contains the highest possible quality of information.
That's 1/1000 for the mathematicall challenged.

