There are a few reasons to not auto reload. As stated above, it can waste ammo with a certain few weapons. Also, some reload animations can obscure view, much like revolvers and rocket launchers (excpetion being the Original).
Other than that, it is all opinion based. There are plenty of weapons that only have one shot per load, so they will already auto load after firing a shot, and some that do not even need to reload, so they are not included.
(I disabled it becuase I found it annoying, and prefered to reload when I wanted to reload.)
Other than the chance to loose a shot on two specific weapons, everything else is opinion based. Some people might complain about the obscured view, while others might be fine with it. Some people might like to be more in control of the game, while some others are fine with reloading when ever. Mostly opinion based.
NOTE: This could easily change if there was a weapon that had altered stats depending on the number of bullets left in the clip, or a gun that punished you for reloading with bullets left in the clip.