They do - however, engineering works can and do mean that both the Thameslink and Southern branded services can divert from Selhurst to call at Norwood Junction instead. Overnight stops at either are staff stops only and as such there is no obligation to provide a passenger service to either station. Providing a passenger service would mean that replacement transport would always need to be provided during engineering work. This may not be cost-effective given other bus options in the area being more efficient than a replacement bus a couple of times an hour calling at railway stations only.
You could make extra public calls, not just at Selhurst, if the demand really, really existed, but also consider this: the overnights have extremely tight diagrams to make the most of stock and crew availability. They already experience numerous short terminations and increasingly end up skipping stops too. Adding two or three extra stations would slow the service down considerably and eat into turnaround times. It would also result in roughly double the number of unstaffed stations being served. You would not be able to lock up several of the stations overnight so you need to consider the security aspects in inner South London.
Given how quiet the overnights can be in the early part of the week, and even at other times of the week during parts of the year, it could at most end up only being cost-effective to slow the service down to call at additional stops on Thursday, Friday and Saturday nights. This would add complexity to the timetable, and mean drunk passengers would be confused about which nights the train actually called at their station. You can take it from me and my front-line experiences that this is NOT something you want.
Instead, why not serve stations which don't have overnight public transport, like the glaringly obvious example of Redhill - it's staffed overnight, timings allow trains to be routed through the centre "Main" lines anyway, there are already irregular staff stops and those attract more passengers than most stops on the 0042 Victoria-East Croydon, and lastly it's a train crew depot and major railhead for crew travelling to other areas...