I think the reason is probably just that List already has BinarySearch and Insert, which means implementing your own always-sorted list is trivial.
Not that this means a SortedList class doesn't belong in the framework -- just that it probably wasn't a very high priority since it could easily be written quickly by any developer who needed it.
I think the same was true for HashSet, which didn't originally exist because you could easily use a Dictionary (for example) to simulate one before .NET 3.5.
I know that's what I did in both cases: I had a UniqueSet class and an AlwaysSortedList class, which just wrapped a Dictionary and a List (and used BinarySearch and Insert), respectively.
