There is a big reason for that, from what I've read, from those who seem to know what they are talking about. The idea is that many use neg feedback as a crutch to make a non-linear circuit, linear. But this sort of implementation tends to create a lot of higher harmonic garbage, which is far more offensive to our ears that even high low order harmonic distortion.
So, the idea behind using NFB is that the circuit should be able to stand on its own without it and should be very linear before NFB. Then using a *little bit* of NFB can be beneficial in some circumstances. Some technologies may be able to get away with using more NFB, but I think this requires a hell of a lot more knowledge than a lot of audio designers display, and requires really fast circuits, which most tube circuits aren't. In the end I think it is easier to design for not using any to get good results.
This puts a huge burden on the quality of PSU in most circumstances and that each load is more ideal and less reactive. This agrees with what Dmason said about power supplies. Remember in a SET amp, the PSU is IN the signal path, so any electrolytics in the PSU are electrolytics in the signal path. Guys like Thoersten work really hard to design without 'lytics in the power supplies of their amps.
In this way, "digital" amps are like SETs in that the PSU is of very high priority. In building the UcD amps, a huge amount of care in the PSU and especially grounding is essential to gaining the most from them.