There are a number of reasons why they aren't in the game - I'm just guessing, but... - even if they were used in Ethiopia by the Italians, in China by the Japanese and the British planned to use them against the Germans should they invade Britain.
Apart from PC motives, the main reasons must be they don't have much of an impact at HOI's scale and they weren't used in WWII.
The main effect of CW is to slow down operations and increase casualties. CW is effective only against poorly protected troops and WWII armies took the threat very seriously and were well prepared. The troops who waded ashore in Normandy on D-Day wore gas-proofed uniforms, for instance.
Against protected troops, non-persistent agents have always proved disappointing, and their extreme sensitivity to weather conditions makes their use difficult to coordinate with other operations. Beyond the first surprise at Ypres in 1915, the only successes in their use were limited to isolated attacks conducted by the British Special Brigade which were made possible only by the fact that the front was extremely static and had zero impact on operations anyway.
The only really useful agent is the (unbelievably) persistent mustard and its derivatives. It isn't extremely lethal but can cause lots of casualties for a LONG time - some heavily dosed areas of the Western Front were still contaminated when WWII broke out.
But, again, against protected troops the actual effects aren't dramatic and protection at the time of WWII had evolved to the stage of protective clothing so even mustard wouldn't have had a great impact.
Balance this against a whole new research tree branch with complex rules to specify the conditions under which first use would be allowed, all this to bump up everybody's casualties by, say, 5% and (maybe) slightly decrease infrastructure in contaminated provinces.
Consider also that even WWI strategic games very seldom have gas rules for the very same reasons.
So why bother in a WWII game?