Much of the early folk song collecting took place outside the normal social context; that is to say, from individuals, often elderly, in their homes or places of work (or in the house of a local landowner or clergyman) rather than in group situations. There were often logistic problems collecting in pubs, for example; the presence of a stranger, particularly from a different class, would tend to inhibit the locals. Since it would be in social or family situations that harmony would be used, it's not so surprising that little seems to have been found, and the discovery of the Copper family caused considerable surprise at the time.
Worth bearing in mind also that the earlier collectors had, in the main, a quite specific idea of what they were looking for; they wanted the very old stuff, so they went to the oldest people in the remotest areas much of the time. Singing in harmony was likely to be disregarded by many collectors as a fairly late practice, borrowed from "art", church and popular music. It does indeed seem to be true that this is the case so far as the surviving styles are concerned, though that is not necessarily to say that harmony was not used in earlier tradition, in other forms; just that there are few records of its use.