Basically because PCEjin was made primarily for making TAS videos. The only debugger parts in it are for cheat search, too. Else the rest of the debugger went out the window. But, there are three authors working on PCEjin, so someone could request a such a feature for it.
What would be really nice and fairly practical for sprite ripping, is to have a movie record feature that only dumps 64k vram each frame (and maybe some VDC regs too like the SATB pointer) and the VCE cram. Then an external viewer can be made that rebuilds the sprites on screen, but with an the option to turn on/off individual SAT entries. An option for 16x16 box outline for alignment would be nice too.