I think SE's thinking why it hasn't been implemented is that they would then be expected to add a special theme for each individual mount, a time consuming and expensive task that could be better spent elsewhere.

Don't get me wrong, I love Terra's Theme and think it would go great with the magitek armour, but given there's lots of other improvements that can be done with this game, it's a matter of priorities over something that is just pure fanservice (and wouldn't even be noticed by players who have never played another FF game before, let alone FFVI).