I'm not aware of an explicit explanation for why Grievous was not fitted with lightsaber-resistant armor. The people who designed his armor might not have thought about adding a lightsaber-resistant material since they did an exceptionally poor job. Not only did they neglect to give him lightsaber-resistant armor, but they made it easy enough for Obi-Wan to pry apart his armor plates and shoot his exposed gut-sack with a blaster:

In any case, lightsaber-resistant armor fits only a very niche application: an opponent who uses a lightsaber but does not use the Force. Since most lightsaber users are Jedi (who of course can use the Force), lightsaber-resistant armor isn't really that helpful. A Force user can easily push someone off a nearby cliff (there's bound to be one nearby), Force-crush his vital organs (as Mace Windu did to Grievous in the Legends Star Wars: Clone Wars cartoon), etc. This is also a good explanation for why Jedi generally don't wear lightsaber-resistant armor, either -- such armor would be cumbersome but would not protect against an opponent's Force attacks.
Additionally, Grievous could wield up to four lightsabers simultaneously, so the designers of his armor probably thought it was unlikely he'd suffer a lightsaber strike. He can use three lightsabers to block his opponent's lightsaber and still have a lightsaber for attacking.
The niche use of a lightsaber-resistant armor and the unlikelihood Grievous would need it, combined with the rarity and expense of lightsaber-resistant materials, explains why Grievous' armor might not have used such a material.
Grievous' IG-100 MagnaGuards had lightsaber-resistant electrostaffs made out of phrik because the MagnaGuards use a melee weapon which is likely to encounter a Jedi lightsaber. The MagnaGuards' electrostaffs would be useless if they could be cut by a lightsaber, so they needed to be constructed out of a lightsaber-resistant material like phrik.