Part of the issue, I suspect, revolves around the fact that unsigned integer types in C are required to behave as members of an abstract algebraic ring rather than as numbers [meaning, for example, that if an unsigned 16-bit integer variable equals zero, decrementing it is required to yield 65,535, and if it's equal to 65,535 then incrementing it is required to yield zero.] There are times when such behavior is extremely useful, but numeric types exhibit such behavior may have gone against the spirit of some languages. I would conjecture that the decision to omit unsigned types probably predates the decision to support both checked and unchecked numeric contexts. Personally, I wish there had been separate integer types for unsigned numbers and algebraic rings; applying a unary minus operator to unsigned 32-bit number should yield a 64-bit signed result [negating anything other than zero would yield a negative number] but applying a unary minus to a ring type should yield the additive inverse within that ring.
In any case, the reason unsigned integers are not CLS compliant is that Microsoft decided that languages didn't have to support unsigned integers in order to be considered "CLS compatible".