The single major issue is that both Microsoft and Sony have their own low-level API's you have to use if you want the game to function well on a Xbox or PlayStation. Since most studios primarily target for those markets they naturally use the related low-level API's.
Because DirectX naturally works with Windows by default this means any studio making a game for Xbox is likely just going to port the game over with DirectX because it's easier.
As a gamer I'd absolutely love for everyone to just use Vulkan because, when done well, it performs amazingly better than DirectX 12. But it's not like it takes no effort to implement that support, and if it isn't done well then it might not provide any real benefit at all anyway.