The reason this isn't usually done is that executable size was significant relative to storage capacity up until the early 2000s or so, and people tried to economize by deduping common parts of their executables via shared libraries / DLLs. This worked well enough to catch on, but came with an extremely high cost in added complexity, and over the years a whole layer of additional infrastructure was created in order to manage it. The industry progressed, storage capacity grew dramatically, and executable sizes stopped mattering, but the use of shared libraries / DLLs continued out of inertia. As time passed, people started asking - why are we doing all this? And some of them invented a reason, which was the idea that one could swap out pieces of existing executables after installation, and thereby fix security problems in an application without needing to involve the application's developer in the process. This works about as well as you'd expect if you had spent years trying to fit all the rough edges of various third-party libraries together with varying degrees of success, but the idea caught on as a popular post-hoc justification for the huge layer of complexity we're all continuing to maintain long after its original justification became obsolete.
As is no doubt obvious from my tone, I'm not buying it and am very happy to see signs of a pendulum-swing back toward static linking and monolithic executables.