Because they want to be selling the Neo!
Not like Microsoft. People buying the Slim are more likely not to buy the Scorpio unless they're super rich or super reckless with their money.
Sony doesn't care which console you buy/have so long as you are in the PlayStation family and they can sell you games while taking their licensing fee. The lower they can get the price of the entry level console, the more they will sell. Sony doesn't want to be selling the Neo any more than they wanted to leave the last generation. They only do/did so because gamers demanded a spec increase.
However there are a couple counterpoints to that idea that they want the PS4 to be the absolutely lowest price possible. First, Sony wants synergy with their other products. They want people to upgrade to 4K TVs so need to give them as many reasons to do so as possible. Having their entry level gaming/media console not support UHD doesn't fit that strategy. Second, they need to be competitive. The XB1 S @ $299 plays UHD content, the currently selling PS4 version needs to do so too.
To accomplish both of these goals Sony needs to modify the PS4 to be able to handle UHD, and to avoid confusion needs to make it distinct from the normal PS4. There will after all be normal PS4s still selling at the same time. Sony doesn't want people mistakenly buying a standard PS4 thinking they are getting UHD playback capability, so their new low end PS4 with UHD capability will have to be called something different.
The real issue for me would be launching 3 new HW products in the same year, counting PSVR, all competing for the same user dollars. It would be challenging to find a position for them all, but then again the production volume of PS4 Neo and especially PSVR may not be that high to make it a problem.
I use to think this, but the PSVR is going to sell out, so it is not really going to be competing with anything. Only the people who really really want one will be buying it.
As far as the Neo, as I mentioned above that it isn't competing with the PS4 either. Sony doesn't care which you buy. In fact, if you already have a PS4 they'd probably wish you used your money buying more games for it instead of the Neo. The Neo is there only because of the competition. Sony needs a product to compete against the Scorpio and PCs for those gamers who would be tempted to ditch the PlayStation platform for higher specs alternatives.