Probably because moisture is a much bigger problem in homes than heat or cold. If the shower stall were closed on top, when the door was closed, the moisture would sit in the shower and not evaporate. That can lead to mold problems.
It's much easier to deal with moisture when it's largely restricted to the interior of the shower! Easy to wipe down the sides and then leave the door open to allow the remaining moisture to evaporate. Seems superior to having the water vapours condensing on ceilings and walls in the bathroom that likely can't be wiped down.
You can also just have a small shower room, with a separate door, it's about equivalent. You see this in many houses where the sink vs shower & toliet are two separate 'rooms' connected to each other.
