The reason may be simple but also... dangerous. 

But first let’s talk about the Cashew nut .... or if we must be precise for the " Cashew Seed".

Yes, that’s right the cashew nut that we all know and love is actually a seed. Unlike most tree fruits, the seed of cashew apple grows outside the fruit. This seed considered as the useful crop. The rest of the Cashew Apple is used locally for produce products of lower nutritional value (such as jams)

Let's answer now to our question. «Why can't you buy cashews with shells?»

Cashew tree belongs at the same genre (family) as the poison ivy and the poison that gives the itching (urushiol) is in the cashew shell.

Thus, the cashew industry  (production, processing and distribution) has strict rules on the distribution of raw cashew. However, raw cashews as we know and buy them from retail and health food stores are not completely raw. They have steamed beforehand to remove the harmful substances found in the shell and on the raw material. Prior to this process, the seeds color is green, the cashew (even the "raw" ones) sold in the stores are golden yellow precisely because they have undergone this vapor treatment.