That's like asking why doesn't my wife like Whoppers but likes Quarter Pounders.
I've had clowns 4 times in my life, and only the first 2 batches found shelter. The first batch was wild so no problem. The rest were bred and yet the 2nd batch went in, but the last 2 did not. Right now I've got a pair of 1 year olds who haven't learned to go in yet.
If I wanted to force the issue, I guess I would need a really aggressive fish to chase them around and force them to learn the anemone (or torch) can provide shelter.
I read some where to tape a picture of clowns hosting the anemone on the glass of the aquarium or aim a flash light right above the anemone when the lights are off. I will be trying the picture this week.