If a normal person get roasted by a Thunderbolt, he would be severely burned. Why don't Pokemon get burned?
Because thats how game freak wanted it.
Possibly because t-bolt can already paralyze, and paralyzing is usually something that electricity does more than inflicting burns. And maybe it's becasue a pokemon is different from "a normal person". Or as kyron said, thats how game freak made it.
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