Assuming it's true headshots are less likely to result in critical or fatal injuries, I'm guessing the primary reason is a combination of the fact that the head is covered in bone, conveniently curved to deflect impacts, and that most headshots are inflicted by weapons that aren't all that powerful.
That said, the game isn't trying for realism, it's trying for 40K verisimilitude - which I suspect most people agree includes devastating headshots.