Who said they don't? You may have some that don't but that doesn't mean they shouldn't be labeled...
Arc Flash labeling is the responsibility of the EMPLOYER, not the manufacturer of the equipment. But that said, technically the requirement for labeling is for "any piece of electrical equipment that may need examination, adjustment, service or maintenance while energized, creating the potential for an arc flash incident to occur". In the case of MV drives and soft starters, they are interlocked in a way that does not allow the doors to be opened with power applied, usually with Kirk-key interlocks or mechanical pin interlocks. So some people take that as a reason to not bother with any sort of labeling. I'm not one who agrees with that, I'm just relating the argument I have heard.