Because it doesn't actually change the ultimate temperature...

Because it doesn't actually change the ultimate temperature reached, just slows the time taken to get there a little. So initially people think 'this feels nice and cool' as it draws heat from their body, but ultimately, once its limited heat storage capacity is used, they will experience the exact same temperatures over their sleep as though the PCM wasn't even there. This is because once the PCM reaches capacity and stops drawing in heat the same thermodynamic equilibrium conditions will exist as if the PCM wasn't there.

To have cooling throughout the night you need something to draw heat away throughout the night, not just initially like PCM does - ie thinner sheets, cooler room temperature, air movement from a fan etc. This is difficut with a memory foam mattress, but wicking technology will provide a better all night solution to this problem than PCM could.