My guess for why there isn't a wire all the way through is that they already have a machine that attaches wires to the ends of resistors and they don't want to bother with another machine.

Two reasons it has to be like this, both of the "they already have a machine" sort:

1. The way ordinary through-hole film resistors are made is to deposit a carbon or metal film on the substrate, then trim it in a spiral pattern to set the resistance. To make a zero-ohm resistor, then, all they do is... not trim the film. Skipping a step is very easy for them to do!

2. The components must have identical body shapes to ordinary through-hole resistors, or the automated placement equipment can't handle them. It is possible to use wire jumpers as well, but that's a different machine. (Which absolutely exists and is used, it's just only found in assembly shops big enough to buy them.)