Either the specific Borg and Romulans they've assimilated don't possess the technical knowledge of how the cloaking technology works (it's technology, not a physical ability) or they've simply determined that it's not technology they wish to make use of. They're not exactly fans of the stealth attack.
It is also possible that they acquired the technology by assimilating Klingon/Romulan ships, but that the technology will not work on the larger Borg vessels. Besides, cloaking is irrelevant.
Why would they need cloaking technology? Subtle isn't exactly the Borg's "style"
The Borg are so fearsome, they don't need cloaking devices.