The most likely reason is that your company did not set this up with your Data Service Provider. Some DSP have settings that allow/restrict you from requesting ATIS from specified regions. For instance, a European short haul carrier may have restricted ATIS requests from regions where they do not fly.
Further, your ATIS is requested from your FLIGHT INFORMATION menu. This is via ACARS, not CPDLC. ATIS is not requested via CPDLC.