Because The Prince isn't real, and Utena is.
Utena was no prince; she played the part of one— at a cost— but the thesis of Utena first and foremost examines/exposes the illusion of The Prince, and thereby, the inverse subordinate-role of The Princess: how socially constructed and enforced gender [(=)roles] presented through fairytale archetypes cannot be divorced from gender subjectification under the patriarchy.
I consider Revolutionary Girl Utena to be a work of feminist deconstruction in how it interrogates/challenges the naturalized (i.e. gender structures ⇄ heterosexual difference) and exposes them as illusory, maintained in place and perpetuated through a literalized regime, facilitated through The Family. Fairytale archetypes vehiculate this deconstructive exposition really well. The roles of The Prince and The Princess are never actively taken upon