I've always been curious about this, it would seem like a good campaign strategy for candidates even while the primary is still going on, heck even while there is more than one viable candidate possibility, to start arranging potential cabinets. Just like most people talk about the VP selection mostly being about who can bring in votes, which not come out and say "I've picked so and so to my Secretary of Defense, or Energy, or whatever." Pick positions in charge of things that people care about, it could make a candidate look more Presidential and would bring more names to the ticket if someone isn't entirely enthusiastic about a candidate, ie Romney, they may support him anyway because they like who his SecDef will be.
Personally I would not like such a system because it would politicize these offices which are supposed to be about merit and ability, not who'll draw in the most votes, but I can't see why its not being done. I suspect it has something to do with the internal workings of the Party, as gruesome as primaries are they don't want to draw in more people to be damaged in the fight, or perhaps they don't want even more division in the party.
I can hardly imagine its out of respect for the positions in question.