Why no baptism certificates?
I think I am in a legal sort of mind.
For most of my life I used my baptismal certificate from when I was baptized as a baby in the United Church. It was often used as a legal document for identification. In fact many churches were the only places of recording births, marriages and deaths.
The WTS does not baptize babies. Therefore any certificate they dispensed most likely could not be used as a legal document in the way most mainstream religions use baptismal certificates as legal documents.
Another aspect of the use baptismal certificates is that since they don't give them out there is no record that the person has to prove their baptism into the society. The only record are the cong records which again would not be legal documents in a court of law. And since the WTS is allergic to providing any type of legal documents that might at some time be used in a future courtcase I can't see one reason they would be wanting to hand them out.
One more issue.
WTS is a business. Business don't usually privide ID papers for their workers.