That would require an anti-psi version of ALL the armours, because why would one of them get the option and another not?
nah, that´d require either the "ultimate" armors to have some psi-armor, or (maybe better) some specialized ones, expensive and with heavy trade offs...
Noone said you could combine it with any existing armor... it may just be too clumsy/expensive/heavy/effort...
E.g. you have a very expensive anti-psi armor, unfortunately it doesn't really stop bullets... maybe too sensitive electronics and whatnot.
So you may use those against sectiods/ethereals psi, with the cost that they one-shot you with plasma pistols again.
May be a great use for maxed out soldiers with low psi in later game. They can still kill without endangering the whole squad. Until they get hit about once...