Who's to say we haven't?
Most Sentai characters - and Kamen Rider characters, for that matter - we never find out their sexuality. It seems foolish to assume that they're all heterosexual.
(As I recall, in Kamen Rider at least, Diend's actor noted that he was playing him as if he was in love with Tsukasa. It kind of shows. Date and Goto act like a couple too, although I have no idea if that's intentional.)
It is a bit weird that there haven't been any openly gay Sentai characters - but that's not really because of the kids, I doubt they care even slightly, it's more because of the producers, and their ... more than slightly skeevy ideas of gender roles and suchlike.
Japan is still very, very conservative - moreso than America, which is also skewed very much to the right by the standards of most economically developed countries. But at the same time, gay characters in children's television aren't altogether uncommon in the UK and Europe, and they're starting to appear in American children's programming (I think - don't quote me on that), so Japan will get there eventually.