I've been a fan of Rocket Lab since they started, but desperately wanted them to build a reusable rocket. A quick check on Wikipedia shows that they are in fact working on this! https://en.wikipedia.org/wiki/Rocket_Lab (even if using a parachute/helicopter and not direct full, rapid, reusability, it's something)
It's just not in the same direction they are trying to push things. Landing hardware is extra mass and with the payload fraction they can actually launch with their rocket's small size it just doesn't really make much sense to land the rockets under their own power a la SpaceX.