Why don't these exist?
It makes a lot of sense from an evolutionary standpoint, because if one cell is dying for whatever reason, the other(s) can be jettisoned to escape whatever is causing the other cell to die.

Single cells work pretty well as microorganisms, but 2 or 3 cells lets an organism behave somewhat like a single-celled organism except with safety features.
It's only bad for swallowing very large prey, in which case it would be better not to have internal cell walls.