The other half of the problem is that it's hard to actually figure out cool effects to put on character's taunts... Falco got the mode switch on his taunt because it gives people fast AND slow lasers, but it's very arguably non-intuitive, and frankly, I can't think of any cool effects to put on any of his taunts [love this one though].
Similarly, I have no idea what they'd put on, for instance, Sheik's taunts.
Devs have to find an idea, test it to make sure it's not something "too good" [RIP DK healing taunt (although I disagree that was too good, but w/e)], and then code it in.
[Incidentally, the only secret taunt I'd want for ZSS would be a taunt that turns her back into power suit Samus, but I don't know if that's feasible... and if somehow cancelling it left behind any amount of armor, I'm sure many people would complain it's "OP", even though such a taunt would have decent startup and long duration, making it likely very punishable. With no armor left behind it might be workable, but that's possibly extra coding...]