I can think of a couple of reasons why he didn't. The first is that Jesus didn't have exactly the same mission as his followers. I want to be very careful here, because we are commanded to be imitators of Christ in a great many ways. There are some things we can't do, though, which is fine because they aren't our job anyway. For example, no matter how good you think you are I'm prepared to guarantee that you weren't sent to die for the sins of the world.
The second is that Jesus was very clear that he came to the Israelites. He didn't come to save Romans, or Finns or Incas for that matter. He said he came for the lost sheep of this house of Israel, and that was in the context of not wanting to help a woman who was far more closely related to the Jews than a centurion would be. Simply put, Jesus' earthly ministry had a very tight focus, and correcting Roman soldiers wasn't it. It's significant that the task of carrying the Gospel out of the Promised Land was given to the apostles.
Figuring out why Jesus Christ did something is often very difficult. Figuring out why he didn't do something is at best nearly impossible. It's just one more example of the Bible telling us not what we want to know, but what we need to know.