There are a few reasons for not having ice on asteroids.
Firstly, it forces people to be a bit more careful with their hydrogen, encourages the building of refuelling stations and methods to export the gas, and pushes them towards Mars, for Platinum, to construct Ion Thrusters.
Second, it makes oxygen management actually matter, because you bring a limited supply with you.
Airlocks now genuinely mean something, and using them properly is important, since you'll quickly run dry if you repeatedly vent your atmosphere in to the depths of space.
It also makes oxygen farms actually viable, since they'll be the only maintenance-free method of producing more oxygen in space.
Normally, you'd just scoop up a bit of ice and never worry about any of your gases for the duration of your trip, since there's always a convenient refuelling station in any direction. Now, they're a resource you have to plan the usage of.

I agree, I think it would be nice if there were still ice on asteroids, but maybe just made to be a lot more rare or sumfin.