Why aren’t there any “ultra high energy density” batteries on the consumer market?
When I carefully look at the three manufacturers (oxis, sion, solid energy) that you mention, I notice some commonalities:


in development
production testing
building a factory
etc


So my conclusion is that they're not producing and selling these batteries yet. Even if they would have a (in their view) finished product, it will take some time (think at least a year) before any well-known manufacturer (Samsung, Apple etc) will use their batteries. This is because manufacturers want to do their own tests on the batteries to be absolutely sure that they are good enough to use and safe to use in their products.

Think about the Samsung Note 7 battery issue, no manufacturer wants to repeat that as it harms customer confidence.

So sure, some new battery technologies will come but it just takes time.