Well, there can be a bunch of reasons:
1) GF logic=logical for the first time. GF won't want an unlimited amount of legendarys being circulated through Wonder Trade or the GTS, it wouldn't make them special.
2) Shiny Legends are usually released as an event, and if you could breed them, you could use the Masuda Method to get a shiny one relatively quickly. It would make events released specifically for shininess completely pointless.
3) What Qwerty said-
But anyways, a Heatran hatching out of an egg WILL look stupid xD
4) Another possibility- If the gendered legend was put with a Ditto in the Day Care, Ditto may Transform into the legend, but it would be the same gender as the legend.
Hope I helped