Why do we have no enzyme to digest cellulose?
While it's true that cellulose is full of calories, it's very difficult to get the calories out.

Symbiotic bacteria take ages to digest cellulose, and as a result animals that digest cellulose with specialized symbiotic bacteria have a huge gut to house them in.

It's likely that the reason humans can't digest cellulose is because mammals generally can't. And mammals generally can't because it's way too much work, and we don't need to.