Think about all the time, money, and resources those 3 have wasted trying to get their hands on one freaking Pikachu. Why would they think Giovanni would care so much about one Pikachu owned by some nobody? And even if Giovanni wants nothing more than to have Ash's Pikachu all to himself, why keep sending them when he has plenty more, and likely far more competent, members who could do the exact same job far more effectively?
EDIT: I heard a theory that Giovanni is Jessie's father, which could be a reason to keep her on Team Rocket, but this is yet to be confirmed or denied. Even if it's true, why let James and Meowth stick around?