Because people don’t really take the “unfinished” part into account properly. Why would they share footage of their game being buggy, laggy and with features that may be changed? That’s bad marketing.
Also, if they implement a feature that they then have to remove, people who liked the feature may get mad and “demand” the feature to be re-implemented even though the company has decided it’s not a good idea for whatever reason.
And then there’s the security “concerns”. If you show a bunch of bugs and/or how the game is built, it will be easier to cheat and whatnot. Though I would argue that keeping your code open-source would help more than it would hurt.
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