Why are accelerometers (and other MEMS devices) so rarely integrated into components?
If you meant your question as "why do we not integrate them into a full SOC", then I am afraid I do not really answer your question below. Else:

In addition to the reasons already given here is that they not just require extra steps, but compromises on steps. In other words, your MEMS part will not be as good (or as cheap) when it is integrated with CMOS than it would be if it was done with a separate process. The CMOS would not be as good as a dedicated CMOS process either (for example, heating steps of your MEMS part would impact the doping profiles of your CMOS devices. Many cutting steps like plasma etching, DRIE, etc, use large fields and can cause charge to damage devices). However, it is done: take this example from the Melexis MLX90807/MLX90808  pressure sensors (source). 



Because of this, it is often cheaper to just use different processes and connect in-package. Here is an example fro mCube (source). You can see two die in the top-left picture. According to the source, the top die is connected to the bottom one with through-silicon-vias. 



An example where bond wires are used to interconnect multiple die (source):