Because they need not to be created.
Files and folders like .vim which begin with a dot are, by convention, hidden from user if a special option is not specified: you need to launch ls -a or set the "View hidden files" option in your file manager (Ctrl+H also works). This convention is only meaningful when applied to user's home directory and its descendants, and is mainly used for storing user-specific configuration (KDE stores its settings in ~/.config, GNOME uses that too, apart with ~/.gconf and several others). They are often created automatically when application is run or its settings are changed, but they are not required to.
When you install an application through APT with tools like apt-get or aptitude, it spreads package-related files over the entire filesystem (check a typical file list for a package). It installs executables in /usr/bin, libraries in /usr/lib, documentation into /usr/doc together with /usr/man, and so on. All of these directories are not user-specific: they have nothing to do with your home directory. APT does not ever know about it. Dotfiles (and folders) are only used by application, not a package manager.
Imagine a big mainframe with a thousand of user. When a new package is installed, you wouldn't want to update all of users' home directories: this creates a mess in them, this may interfere with their existing configuration, and finally, that wastes disk space!
If you just want to customize your vim configuration, create the .vim directory by executing mkdir ~/.vim.