Lack of planets in the Oort Cloud
Simple answer: the material is just too spread out.

Forming a planetary-size object takes LOTS of collisions to build up enough matter to start gravitationally attracting the surrounding stuff.  The Oort cloud is very far from the sun (starting at ~1000 AU, compared to a maximum of ~50 AU for Pluto), meaning that the icy fragments are moving very slow in their orbits.  Furthermore, the material is spread out over a huge volume, especially since the Oort cloud is a spherical shell (the matter is spread in 3 dimensions), as opposed to the 2-d disk that makes up the vast majority of matter in the Solar system (Sun, Planets, Asteroid &amp; Kuiper Belts).  The timescale for these objects to accrete to any graviationally significant size is far beyond the lifetime of the Solar system (or even the universe).