I'm not sure what exactly the case is with The X-Files, but in general, those types of things can be real pains to get cleared by all of the necessary parties. Also, there can tend to be profanity and scatological humor that would cause one to ponder the age-old question: "do I bleep it or do I put a warning label on it".
IMHO, gag reels are perfect Easter Egg fodder. They're fun and not all that germane to the film/TV show in question.
1-People's agents nix them because they think it makes their client look bad, even though the reels have been on the bootleg market for years and many people have seen them. Talent is not usually consulted
2-Agents want tons of extra money for said reels. Again, talent not usually consulted.
Why let the bootleggers have the money? Release the Buffy unaired pilot and all gag reels on TV sets!