Mainly because with the game modes where there is no Back to Lobby (Stroke Play, Blitz, Closest to the Hole), you can complete your round after your disconnect.
Speaking from speculation, there is no loss in fully disconnecting you because you can complete the rest of your round when you connect back. The only loss that one incurs is potential XP gain. However, I'm pretty confident that it's been this way in Stroke Play since the beginning of WGT time. So this feature (or lack thereof) may have been implemented before XP existed, when there was virtually no loss at all (besides time) in disconnecting.
Me personally? I think that there should be an option while setting up games of Stroke Play, Blitz, or Closest to the Hole that allows you to either turn on or off the Back to Lobby feature, but my opinion is just another pile of *** in the sewer that is the WGT's Suggestions List, so I'm not sure why I'm still wasting my time typing.