Why don't ICs include bypass capacitors?
The bypass capacitances on the order of 0.1uF are too large for silicon processes used for creating ICs. Metal-oxide-semiconductor (MOS) structures are used to create capacitors inside the ICs. These structures create capacitance with density on the order of 100pF/mm2.
further reading:
Chapter on MOS capacitors
Similar question on Research Gate, if you have an account there
The last time I got a quote to add capacitors or resistors to a chip it was about $0.01 per part to be added plus the cost of the part. Parts like say an Intel/Altera/Xilinx FPGA, or a processor usually have decoupling capacitors built in and then also require some on the PCB as well. It's a complex question that depends on the part and application.
If you're making a $1.00 microcontroller and you've added $0.10 worth of capacitors that is going to put you at a price disadvantage at the negotiating table (despite your competitor needing $0.10 of parts on the board!). Additionally there is a constant push now for smaller and smaller packages. Adding large 0201 01005 parts is not helping. Then also adding parts lends itself to packages that have a substrate board. Lots of cheap little parts are using leadframes with no good way to solder parts to it. Some parts are now coming in CSP packaging which is essentially just the die. No place for external decoupling caps there (more on that later).
The other thing is your part may not need it, but sometimes it will. The connection between the die and the board could be many things, a bond wire to a substrate, flip chip to substrate, leadframe, etc. This path has an impedance (and inductance) that resists your die's desire to pull current through it. When you're a big power sucking chip with high frequency current demands like an FPGA or CPU you may not be able to pull the kind of current you want without significant voltage drop. Placing capacitors on your substrate and bypassing that impedance is more about robust functionality at your operating frequencies than it is about convenience for the pcb designer.
Finally chips do actually include bypass capacitance right on the die. A lot of things wouldn't work if we didn't. Now those structures are small of course and not the 1uF you can get with a discrete part. However they all work together to provide a stable voltage where it matters at the actual circuit on the die. Your on die capacitance is the first line of defense, followed by your on package, followed by your pcb board. But you can see that by the time you reach the board you've already gone through quite a bit of impedance so your 1uF 0402 may not be effective enough for that highspeed bit of logic. So then you need some die capacitance maybe, but oh maybe you can't get enough without blowing up the area (and thus the cost) so then you start thinking about putting in some on package caps. Then you start obsessing about lowering the package impedance (inductance again) so maybe you don't need quite so many on die parts...
Long story short it's a tradeoff like everything else we do.
It's possible to do this in expensive parts like desktop CPUs (and where there are real benefits in performance) and Stratum 3 clock modules, but the cost of including MLCC capacitors in IC packages is something few manufacturers would pay for. There is little market for non-SMD parts that are not high power and don't have an insane number of contacts.
Capacitors of appropriate value cannot practically be made as part of the IC chip itself, so it would have to be extra bits. See Nick's answer for why this is usually impractical.
Back in the Paleolithic era of socketed DIP parts, there were sockets offered with MLCC caps between the usual corner power pins, but I don't think they were very successful in the market.