Why hasn't the US military performed aftermarket modifications on certain aircraft?
I think the main reason is that many of these planes were produced before winglets were common
Look at a list of USAF planes and see what years each one were produced (I am not including every plane, but most of the common ones)

C-5: 1968–1973, 1985–1989
C-17: 1991-2015 (has winglets)
C-130: 1954-present
E-3: 1977-1992
KC-10: 1979–1987
KC-46A: 2013-present (does not appear to have winglets, even though recent)
KC-135: 1955–1965

But when you look at this story about winglets, there is the sentence

The first 747-400 was delivered to Northwest Airlines in 1989, the
first commercial aircraft with proper winglets.

So for the most part you are talking about adding winglets to an existing airframe, rather than aircraft with winglets as part of the design.  This increases the expense of adding winglets, which reduces their cost-effectiveness. Look at this article on modifiying the B-52 to use four modern engines and the problems with that (not all of these would apply to winglets).