No reason, that's why not. Maybe they have occurred in Ontario, but have so far escaped detection because of their similarity to other Myiarchus species, in particular Great Crested Flycatcher.
It is interesting that the Province's first Thick-billed Kingbird was found in the exact same location (Calf Pasture, Presqu'ile P.P.) that the Province's first Sulphur-bellied Flycatcher was found in 1986. Also, Doug McRae mentioned today that he found a Western Kingbird in that same location. Very weird. Why do the vagrant Tyrant Flycatchers love the Calf Pasture so much?
For my family who are probably the most loyal readers of this stuff, but who are not as up-to-date on the birding news, Ontario's first Thick-billed Kingbird was found at Presqu'ile Provincial Park last evening. Instead of going to the office this morning, I got up early and drove 2 hours to see it. It was well worth it.