As a guess, they perceive that their system already provides access to many radio streams via the software, and they don’t perceive a profitability in reproducing a device that is merely duplication, and wouldn’t sell. 

We tried a HD radio here and found the Sonos streaming option to be superior in convenience and audio quality.

There are various, different, “HD FM” standards all over the world.

On the other hand everyone uses the same TCP/IP everywhere.

FM radio coverage would be limited to the local terrestrial area. In my area the stations are mostly dreadful. Their only utility for me would be local news and weather.

I agree with others: SONOS is large scale and such a product would not likely be profitable for SONOS. Third party products, similar to a couple turntables or “Works with Sonos” might be a possibility.