Most-likely it has to do with localization.
If they printed the names of sets on instructions, they would have to print a different instruction booklet for each language the set name is translated into, in addition to translating the boxes (and possibly the stickers).
You will notice that instruction manuals are usually free of any written instructions, which would need to be translated, and instead opt for imagery when possible. If they do have substantial text, it is usually translated into a number of languages, like the game rules in the back of the manuals for the large Orient Expedition sets had.
Of course, simple things like "Click" get a pass on translation.
Sets whose name would not change if localized sometimes have names printed on their instructions though.