Why don't more devices incorporate full-wave rectifiers as reverse polarity protection?
One other answer that nobody else has mentioned is this: If you power a circuit through a bridge rectifier, then the entire circuit must be allowed to "float" with respect to any other "ground" in the system. If you were to connect the negative output of the bridge to "system ground" and then hook up the "AC" inputs the wrong way, you'd short out the power supply.

This would be a problem, for example, in a modular car audio system, where each component would be connected to the 12 V power bus, but would also share a ground with each other component in order to connect the audio signals.