Power Mosfet Gate Voltage
My question is why cant they make a fet that had a much thicker oxide
  layer and was fully enhanced at say 20VDC, had a gate source rating of
  say 40VDC and had a gate source threshold of say 4 to 8 VDC ?


There are some problems of having thicker oxides.

A) Thicker oxides have notoriously poorer quality than high quality "thin" thermal oxides. In particular, thicker oxides have a larger number of defects, and consequently the dielectric strength is reduced. Consequently, the gate breakdown voltage does not linearly scale with the oxide thickness. Therefore if you want to double the maximum voltage, you must use a more than double gate oxide thickness.
A larger oxide means a smaller unit area gate capacitance (Cox, expressed in F/cm^2), i.e. a smaller drain current (and transconductance, as they are related). To recover the reduced Cox, you'll have to make your MOSFET with a larger channel width (W), compensating any benefit of a smaller gate capacitance Cg.

Furthermore, defects might act as hole/electron trapping centers, i.e. they will change the threshold voltage, over time, when charges are trapped. 

B) Imagine you have a switching power supply. The power dissipated due to gate capacitance switching is Cg*Vgg^2*f, where f is the switching frequency, Vgg is the gate "On" voltage, and Cg is the gate capacitance. You want to double the oxide thickness, to have a double "ON" voltage. Therefore the capacitance will be Cg2= Cg/2, and the new voltage will be Vgg2 = 2*Vgg. Keeping a constant frequency, the power due to gate capacitance switching effectively doubles.