I'm pretty sure it's a rights issue of some sort. The executive producers of "The Tracey Ullman Show" (which, if I remember correctly, include Danny DeVito's sister-in-law Heidi Perlman) are not the same as the executive producers of "The Simpsons".
Besides - there's no guarantee that the shorts would remain intact. On one of the VHS sets, I think the short where they go to the zoo is missing its final act (they're driving home when they discover they have one of the monkeys instead of Bart) for some reason.
In alt.tv.simpsons, on the "Re: Why haven't the Ullmann shorts made it to one of the DVDs?" thread, Don Del Grande wrote:
I read -- probably in this very newsgroup -- that the "Ullman Show" producers wanted more money than the "Simpsons" producers were willing to pay. We "Simpson" junkies might be annoyed at this decision, but it's not as if the absence of the short has hurt the DVD sales much.