Why would it matter? We are playing a power higher then the leader of a country...more like the war god of the country...who pulls the strings on everybody and everything. Hitler is a nobody comparted to the power I wield over Germany
The way I see it, when you play HOI you are the leader, and events like this would add immersion and flavor, without which the game becomes dull after a while. Not to mention if a leader gets assassinated, it could open up an event to the countries its at war at and they can decide if they still wish to continue the war against the new government. This would model how, for example, the conspirators in the July 20th plot planned to make peace with the Western allies after they took over so they could focus on the Soviet Union.