Actually, Stern has started using LED somewhat. However, there are at least two drawbacks, or at least differences, with LED which I believe make normal bulbs the default choice: little diffusion, and lack of natural fade-in/fade-out. The first point is especially relevant for the kind of "retry" lights which you mention, since those inserts (as those plastic lenses are called) are usually pretty large. To "fill" a large insert with uniform light from LEDs, you need more than one. May not seem like much, but pinball production is a fight against costs.

Of course, a pro for LEDs is that they give off a lot less heat, and heat is a big killer for playfield inserts over time. And, as you say they usually don't need changing unless you get a cracked solder joint. Also, since LEDs are smaller and can give more focused light in a small area, they are useful for detailed status info without taking up much playfield space. A very good example is on the Lord of the Rings machine from Stern, where there are 18 (I believe) distinct LEDs in an area where only one or a very few incandescent bulbs could have fit in.

And honestly, changing a light bulb in a pinball is generally so quick that the operator should manage to do that as part of his routine of emptying the coinbox. Really.