Because they're more for show than practical use?
The one in Morrowind seemed to work pretty well as a weapon to me.
Rule of weaponry in games: the more impractical and stylish, the better the weapon!
Very true, at least for fantasy weapons, and as long as it's not a joke weapon, in the world of fantasy RPGs, equipment is not exactly confined by what would be practical in real life, if it were, we wouldn't have things like the Daedric Crescent, and the best armor in the game wouldn't be all spiky looking.
Bur yes, I could certainly see Dagon's invasion bringing some new crescents into Tamriel, and Morrowind does show us that there was at least one still in existence at the time, though we don't know what happened to that one after Morrowind, seeing as it's available as an artifact in the game, adding a few to Oblivion wouldn't necessarily be out of place, though of course not every bandit should have them.