Uh, but we do, it's called Divine Veil, but only executes if a healing spell is cast on the PLD while the ability effect is active (plus it only works on party members not the PLD themself, and only for party members in range, possibly as part of the image of the PLD SE was trying to paint as a selfless knight who puts others before themself) - hence this is when you use Clemency, but too many PLDs do not realize this (or care about it to bother). PLD could also cross-class Protect originally so it could boost it's defense too with that, but that was of course scrapped.
I think this comes back to the original concept SE had that PLD was meant to be the 'physical' tank (and hence relied on the shield itself rather than magical 'shield' abilities), where as DRK was the magic tank that did (and thus could be undone with enemies that were pure melee), as I recall there was a lot of complaints about this back when DRK was first released because PLD and WAR were just better against most enemies for this reason. Times have changed though, as all Jobs have undergone revisions and the old cross-class system that was still in effect when DRK launched was scrapped.