I think one reason for that is because of the sheer number of sensors included in modern devices. It would greatly clutter interfaces and physical form factors to include privacy switches for each kind of sensor.
Makes sense (esp. these last few years where device come with the least physical switch possible, e.g. the iPhone), but given the benefit, I personally wouldn't mind the added clutter.
One good first step would be to cut the link to the microphone on lid close (for a laptop or a cellphone, say). Or have a global "privacy switch" which would still allow apps to run to but electrically cut off the privacy-invading sensors (mostly gps, camera, microphone... other?).
