Why not have unit health bars displayed at all times in Starcraft II?

Actually, I'd say it's the shoutcasters turning off the health bars. You never see replays of the gamer himself because that could cost him performance. Those games are either frapsed live through spectators or they just comment on the replay. So you never actually see the player's settings in a game.

Any pro-gamer worth his salt will tell you that you should have the health bars on at all times.

It makes it much easier to focus targets that are already low and makes it much easier for you to see what unit needs to be pulled back. And even in macro game the health bars still stick perfectly to the units, so you can still see very well (I'd argue that it's easier with bars on than without) what's going on on the battle field.