How come evolution never came up with the wheel and axle?
Why should it?
Are you expecting evolution to devise every conceivable answer to every conceivable issue? Good enough is good enough for evolution. Compared to wheel-and-axle solutions a pair of limbs (or many multiple pairs) were, apparently, quite sufficient a body plan that no other structure proved to be as advantageous for those clades of organisms.
So the answer may be as simple as saying a wheel-and-axle never developed because a number of more than adequate solutions had already been put into use.