Board to Board connection for RF and high-speed digital signals
The same connectors that can handle multi-gigabit digital signals can handle gigahertz RF.

In fact, gigabit digital signals are generally more challenging to handle, since they tend to have much wider bandwidth than RF signals. 

However, if you think you will find any connector with 0 insertion loss, whether for RF or digital, you will end up disappointed.


  Why are these connector usually not used for carrying RF signals?



Because in general RF is a much smaller part of the overall electronics industry than digital is.
Because most RF applications don't need dozens of signals in a single connector.