Yeah, but there's got to be a tradeoff in there somewhere.
Myelin will sheath and protect the axon and speed transmission along the membrane while reinforcing it. I'm hardly an expert, it's only a guess that there is a good reason (as opposed to one of those evolutionary "whatevs, good enough") that we have grey matter and white matter and that they are in the places they are. My guess is that forgoing the myelin is worth the tradeoff in a long enough term. It may be more advantageous to throw another axon down that potential space than it is to insulate two. Also remember that Myelin is produced by a specific, specialized cell body, (neurons don't produce their own... I forget the name of the myelin cell) and that body does not cross-function as a neuron. It may be that the CSF composition which you would need to maintain a fully myelinated brain isn't worth the effort it takes to build it. Basically you're talking about the inter relations between surface area, volume, and efficiency. With a dense enough pack, the benefits of myelinating brain tissues may be vanishing and there may actually be an advantage in errant signaling in a dense pack. That might be one of the mechanisms of what we call intuition.