Probably because of the extra expense teaching soldiers about warships and teaching sailors about digging and bayonets.
If you take the RAF College Cranwell as an example you will find it has already combined with RAF officer and aircrew selection (for all services, in the latter case), flying training units, CFS, NCO Aircrew Training, Ascent (PFI), engineering training, logistics training and assorted others with a heavy dose of contractor support. As such it is pretty hard to find any savings, only additional expense if a fraction of it joined a one trick pony outfit such as Sandhurst.