I don't know if there is any special reason for it not being implemented, but I think it's a great feature (as is on Desktop) but it's missing from Android.
Main Reason: since the only way to split the tracks based on the CUE file (tracks with lossy encodes) is to to transcode them further...
PS: on the relevance of cues: http://cuenation.com/
I also requested for this years ago, but still nothing
For alternative I can recomend Neutron Music Player for great CUE support and more.