Because importing Mathutils works in 2.49b, but only gives errors in 2.5.
If it was never ported then it would be nice to bring it to 2.5 as soon as possible, without it all games that use it in 2.49b are crippled and a number of game mechanics are much harder to do.
Or is it in 2.5 and I just don’t know how to access it?
If you open up the console window in 2.5 (not the external window, look in the header options) it says that bpy.Mathutils is automatically imported.
Keep in mind that a lot of functionality has changed in the mathutils library though, and some of the old functionality has been passed off to the geometry library.