Apple is actually to blame as Sony, Microsoft have been selling Games legally through their Microsoft XBOX Live Marketplace and Sony's Playstation Store with small mini games, large full releases games all distributed via online methods only. This means that Apple simply hasn't yet felt the need to contact the FPB (as reported by them) officially to start the store's games section.
At least now we know they are in talks, so this section so open in the next few months as soon as the talks have completed with Apple Luxemborg (the offical South Africa contact point).
As you can clearly see from the press release from the FPB above, Apple discussion boards have often blamed the FPB for a complicated process and the reason for the missing store, however they clearly state that less than one month after receiving Apple's application, they processed it and they were able to self-publish. This is completely contrary to what most discussion board members with lots of "points" always quote.