Because they've advanced so far and still there's always more to come.
Seriously. Unless you're an incredibly rare case, there is always going to be somebody better than you. No matter how hard you try or how much effort you put in. That's life.
I mean Ash did win the Orange League. He conquered the Battle Frontier. He's consistently a high-ranking trainer. It just so happens that there continue to be people that are better than him. Also, he's the main character. He needs excuses to keep on travelling, and challenging leagues is his main thing. If he won, then what? He'd certainly be deemed too strong to run around challenging gym leaders. And maybe he's be disallowed to compete in any regional league for a year or something idk.
And wow, May and Dawn have both become extremely highly ranked coordinators. They've both made runner-up in huge festivals. And think of where and when they started! They came that far in- going by Ash's persisting age- under a year! And they routinely compete against people who have been doing it longer and are much more experienced and competent than they are. It's amazing that they do as well as they do.
So you know what? It's perfectly fine and logical that the main characters don't win anything major. They do really damn well, and that's enough for me.