This is just a mechanic in the game, there's no logic or canon information to support it. In theory, Lucario would have EVs and Korrina's OT and all that jazz, but for some reason it doesn't.
I think the best explanation is that Lucario is a gift Pokémon, not a trade Pokémon, and therefore has all the features of a trade Pokémon. For example, Bill loves Eevee. He gives you an Eevee, but it is not his OT — it's yours.
Um, I hope this explains it, if it doesn't let me know. Sometimes I'm bad at writing down my thoughts.