Because they need big-scale, memorable examples.
It was a good example of far-right terrorism, but not Christian terrorism.
It was obviously political terrorism (from a right leaning ideology), I have no idea what McVeighs religious views were, but it would only be 'Christian terrorism' if his religion was a causative factor in his violence. It isn't enough just to be a terrorist who happens to have Christian faith.
Edit: Its the reason we call Bin Laden an Islamic terrorist but not a 'left-handed terrorist'
