I never understood it.
I guess the Sigma film SLRs and DSLRs were in some ways functionally behind (in terms of stuff like handling and autofocus), and it wouldn't necessarily be cheap to catch up. Also early-2000s era Sigma didn't actually own all of Foveon yet, I suppose.
There has always been some suggestion that Sigma didn't entertain offers to become a big camera brand because it would lose the quiet tolerance it had earned from Japanese camera brands that allowed it to make most of its money from third-party lenses without squabbles over proprietary information.