I've been remiss in not noting this David Maister column from March. He asks, "Why don't advertising firms advertise?" and goes on to examine other firms that don't seem to follow their own advice.
I think he is right on target, but one of the commenters also makes a good point in noting how many firms want to think instead of market. That point, I suspect, comes closest to the mark.
In short, we all tend to do those tasks that we most enjoy. It is easier to tout someone else instead of yourself, so the advertising firms avoid self-promotion. It is easier for consultants to focus on pleasing clients instead of managing so they do so.
For most people, good management is an unnatural act.