Because transistors for generating even very low microwaves like 2.4GHz are extremely expensive comparatively speaking, and don't produce much power. They're good, though, because you can produce very precisely tuned and modulated signals and very precisely controlled output powers - as long as they're less than a couple of watts.
A cavity magnetron is a block of metal with some holes drilled in, two bits of glass glued on, and all the air sucked out. They're hard to tune to exact frequencies and hard to regulate to exact powers, and modulation is as you've already discovered kind of limited to just turning them on and off - but they're extremely cheap to make, last a very long time, and require minimal support circuitry to generate double-digit kilowatts of RF.
You don't need to be cock on frequency to heat up a pie.
Ah, thanks, good to know. I thought solid state power electronics had come down in price more than they apparently did. I guess it's high frequency plus high power that's still expensive. For not so high frequencies (< 1 MHz), mass production for ubiquitous switched-mode power supplies and electric cars has surely brought down the price.
(Side note, modern very high power radio transmitters might also still use some vacuum tube technology - my latest information is that there's a slow transition going on)
Now there are gallium nitride microwave transistors that can produce very high microwave power at very high efficiency. So that is no longer a limitation.
Microwave ovens with such transistors have been demonstrated, which have the advantage of modulating the microwaves in such a way as to achieve a more uniform heating throughout the oven, than can be achieved with the fixed-frequency magnetrons.
At least for now, such microwave ovens with transistors might be encountered only in some professional applications, because these transistors together with the associated control circuits remain much more expensive than magnetrons.