Because I didn't think of it until I wrote Stygia. The idea started to germinate in my head when I wrote Shadizar but I couldn't quite figure out how to do it, so I put it in the back of my mind for awhile. The idea resurfaced again when I was writing Shem and I was getting close to resolving how to do it. I finally figured it all out when I was writing Stygia. I added mysteries to Mitra's cult when I wrote Argos & Zingara, which then got moved to Faith & Fervour when that book was moved ahead in the schedule.
Sometimes in game design the good ideas don't come immediately. It would have been nice if Ian Sturrock could have thought of it when he wrote the core rules, but the task fell to me. I was sick of Knowledge (religion) having very little practical purpose.
Will the Faith&Fervour book resolve this feature ?
Yes; additional mysteries are in the book for a few of the other religions that I thought appropriate. The mysteries of Mitra are included (I really liked those), and the mysteries of Wiccana. Because reprinting the whole section on Stygia would be unnecessarily repetitive and a waste of pages that could be spent on new material, only Set's mysteries are included (not the rest of the pantheon).