They did actually with 2.0 - the scene right after you hit level 15 and leave the city for the first time, and the see the Garlean spaceships - the first part of that is fully rendered CG.

Movies take up a LOT of space on the HDD though, so that is the main reason they prefer to use the in-game engine for most cutscenes.

That, and it allows the player character to be involved. (Very critical for scenes like just after The Vault, where the emotional impact relied heavily on the player character being present.)