Why does In-Memory feature not support foreign keys?
Because they had to ship the feature. If they waited until it was complete, we'd still be waiting for it, and all of those customers who didn't need foreign keys (or were willing to sacrifice them temporarily for the performance gains) would never have been able to deploy.

As with many large features with deep roots into the engine (remember the first iteration of ColumnStore? How about the limited surface area in the inaugural version of Azure SQL Database?), the v1 always has a limited amount of features. 

They come around later, though. For example, in SQL Server 2016, you will be able to have a foreign key reference to a primary key constraint (but I don't believe to a unique constraint). You can see a lot of the enhancements that will be available in "v2" in the following posts:


SQL Server 2016 : In-Memory OLTP Enhancements
In-Memory OLTP - what's new in SQL2016 CTP3
SQL Server 2016 Community Technology Preview 3.1 is available