Every unit of a given console contains the same graphics hardware, so a single version of a game's shaders can be compiled and shipped with the game, and they will run on every console of its kind.

(Also, early consoles didn't use shaders.)

PC graphics hardware varies a lot, so shipping precompiled shaders with the game would require the developers to collect samples of all the world's PC GPU families, compile the game's shaders for each one, and ship all those compiled versions of all those shaders with the game. That would be impractical.

(The variance is arguably even greater in Linux gaming, which often involves graphics API translation, which can affect compiled shaders.)

It could be done for the Steam Deck, since every Deck has the same graphics hardware, if game developers & publishers were willing to make and distribute Deck-specific builds. However, that would rather defeat the Deck's advantage of being able to run just about any PC game unmodified. Steam's "processing Vulkan shaders" step is designed to more or less accomplish the same thing, at least for popular games.