I think it just comes down to cost and potential customers. Most marketing research shows that the majority of North American customers will not spend big bucks on a small car. Unlike the UK, Japan, Thailand, everwhere else.
This is why the Volvo S30 is going to be difficult to place even though it's going to be a great car on paper. The Audi A3 has moved 1500 units so far in 2006 (This figure is through the end of Feb). Merc won't bother bringing a B-Class equivalent to the USA, and the BMW X3 is as close to a hatchback as they'll risk going since people just won't buy an expensive 5-door car in the USA. Maybe as gas prices increase, the allure of a nice utlity car will re-emerge... but for now... it's just not practical for the Caliber, Golf, Mazda3, HHR, etc to have AWD.
The Vibe/Matrix gets an AWD option, but it's not really a performance unit... and sales of the AWD version of this car aren't stellar