Because it's easy
It's really easy to make a thermostat that raises the target temp (thus turning the load on) within a tenth of a second of the given time.
And it's really easy to set the same default in every single one you make.
The fact that's stupid is irrelevant. These things are built to a cost. Adding randomness and ramps to smooth the load change over a few minutes would cost more.
The costs of deliberately synchronising all your customer loads to within a second don't fall on you. They fall on the utility company. And the consequences fall on your customers and their neighbours.
This is simply another example of why regulations are absolutely required.
The "free market" will always be destructive when permitted to externalise the costs and consequences.