The benefits of standing up to high temperatures are important for reusable rockets that need to land (the heating happens on the way down, not on the way up). If you're not going to land, aluminum-lithium like Falcon 9 is better.
You're only heating your structure that much when you're landing an entire spacecraft. If you just have a capsule going down its usually easier to have an ablative heat shield.
Also, it's a lot easier to foresee the weight of a design than its cost so most space programs use it as a proxy for cost. So generally the space industry would optimize for minimizing weight and not even try to think about how the materials used would affect cost.
Steel was used before for the early Atlas rocket models. But the skin was too thin and collapsed on its own weight. You can see YouTube videos of this.
Those were balloon construction, which is a bit different. They were designed to be kept rigid by the internal pressure of the propellant. Actually the Centaur[0] is still built this way, using stainless steel.
Not your parent commenter, but SpaceXs innovations start with pulling most design and fabrication in-house, rather than NASA relying on (multiple levels of) defense contractors redesigning ICBMs. ICBMs are single-use only and cost is no object when you're fighting WW3. Similarly, cost was no object for launching military spy satellites, so there was no reason to reduce the launch cost of a $1B recon satellite.
Here, specifically, with regard to steel rockets? SpaceX stopped optimizing for weight and used thick steel. SpaceX optimized for cost and practicality. Brute force rocket engineering, rather than "the best performance numbers on paper" which is where a lot of rocket designs seemed to get lost in the weeds of some component that ends up being a massive maintenance mess but gives you "the best performance".
The steel tanks that collapsed in the sixtys? They were so thin they needed pressurization at all times or they would collapse. SpaceX realized that was a design and maintenance risk, and just built thick tanks.