I would guess it is partly class-based, sausages were historically (broadly) for the lower/middle classes. Although chilli arrived in Britain as plants in the 16th century, they were decorative plants until almost 19th century and likely out of the economic scope of people making and eating sausages (even when they knew about chilli as a spice).
If they wanted more kick from their sausages they would eat them with mustard or horseradish, both cheaper than chilli would have been.
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