I have a couple of in-universe explanations, other than those mentioned by others about magical self preservation and shields, but I'll get to that later.
I do have an out-of-universe explanation, though, and it's probably the most important reason, which is: It's just too easy or unimpressive.
Would Darth Vader seem more or less dangerous if he clamped the carotid artery and the victim just slumps over dead with no hand gesture? Instead, we see that same guy struggling to breathe for a while and Vader looking like he's strangling the guy from across the room? Use the Force to knock someone 10 feet in the air and 30 feet away, or rupture the diaphragm of 20 Jedi?
If you can kill your opponent by teleporting a pebble into your opponents brain so they instantly fall down dead, it's not much of a fight scene.
In Mission: Impossible 3, they had a tiny explosive in the brain that killed someone in the first few minutes of the movie. The only reason it was tragic is because it was a rescue mission as well as a beautiful, young woman who died. Totally unimpressive, visually. They did the same thing in Kingsman, but made it blew people's heads off in a mini mushroom cloud. It was much more impressive, even though I didn't like it.
Readers and watchers want something they can "see" or see. If you can make it visual, then whatever you do will work. I can't remember the name of one specifically, but I've seen a couple movies that show internal repercussions of fights through a quasi-X-ray/MRI CGI. It was probably done because of the increased gore factor, but it helped illustrate just what a punch, broken bone, or bullet wound does to a person. I think the CSI shows use the same type of tech to illustrate similar effects during the characters research, but the movies I watched showed them "in real time" during the fights. (One was a Jet Li movie, but there were a couple others.)
The Watchmen is another example of overdone "magic" to be visual. Doctor Manhattan could just scramble people's brains easily enough, but instead makes them blow up. It's disgusting, disturbing, and visually stunning. I think in this context, it's done to make other villains/combatants want to cease violence, but that's only speculation. He does the same thing to Rorschach at the end of the movie, but again, that serves a dual purpose of turning him into a Rorschach-esque splotch.
So that brings up a minor reason why internal damage to enemies isn't used: it can't easily be used to deter other enemy. Seeing a guy slump over isn't as scary as something more visual. Even a bullet that isn't seen is less scary than the effect of a shotgun or grenade. Fear is what prevents people from attacking, not self preservation.
I call it "minor" because if you can use the same energy to blast a fireball at someone as incinerate 12 people's frontal lobe, it'll be much more efficient to kill a bunch of people than try to make them run away and maybe fight you again another day. So, which is more impressive: the 12 people dead of internal injury, or a fireball that maybe damages one person and scorched some hair off 2-3 other people? Also, which is more impressive when? The fireball is impressive during the fight, but the 12 dead is impressive only afterwards.
A story generally needs something with a little more flair than efficient to keep people interested.
Also, to be able to target something you can't directly see may also take a considerable amount of skill. Almost anyone can shoot a gun, but a sniper has spend years (or decades) getting as good as they are to hit as small a target from as far away as they do. Same thing can apply here. Sure, that pebble in the brain might not need super precision, but clamping an artery does.