Cyrillic has letters for both sh and ch. Greek has letters for both phonemes of th. Alphabets have alot of inertia after their initial foundation. That's why even when they make new letters they're almost always diacritics or ligatures. Hell, English did this with &, but we decided that it was punctuation instead of a new letter.
Completely off-topic, why the hell does Hangul's G look like a backwards Gamma? Is that coincidence, there's no way that was borrowed from the other side of the planet.
(With the one for sh, ш, having been borrowed from the Hebrew for sh/s/th, ש.)
And yet there have been some ligatures converted into letters following sound changes, as in ЪІ > Ы for [ɨ] (in Russian and Belarusian) or ІО > Ю for [ʉ] (in Bulgarian, Russian, Ukrainian, and Belarusian).
Completely off-topic, why the hell does Hangul's G look like a backwards Gamma? Is that coincidence, there's no way that was borrowed from the other side of the planet.