Couple of reasons:
1) Chrome fills in micro voids in the metal which serve to prevent crack propagation. This lowers the overall fatigue strength of the material, meaning it can't handle as many uses as a non-chromed socket of the same design/material. This is really important for impact wrenches which see hundreds of impacts every time you remove a nut, so it's not uncommon for the impact socket to see millions of impacts. In addition, an impact wrench applies the load much more quickly (a faster strain rate in engineering terms). With very few exceptions, the faster the strain rate, the lower the effective strength of the material.
2) No one likes to have chrome sockets with the chrome chipped off.