To do so would have been nice, but unrealistic. To do that would have been an insult to the plot and to the characters. In my opinion they both needed time away from each other to grow and figure things out on their own (and come to terms with their emotions and everything that happened to them).
When the story ends they simply aren't ready to be together yet. But they will be. Despite what Nezumi thought in No. 6 Beyond (Light Novel) he made a promise to return to Shion and return to Shion he will because he never breaks a promise. It's something we just have to trust in.
I found this blog to be helpful when coming to terms with the ending: http://classyshipper.blogspot.com/search/label/Shion
But nezumi left sion with a sweet good bye kiss. They didn't even confess their love properly.