Bone marrow transplants have a list of serious risks and complications, including an overall mortality rate of 10%
This. Plus the fact that "HIV immunity" is not necessarily a good thing. It is obviously "good" in the light of dying to a HIV infection, but in every other case, it's a disadvantage.
This "immunity" comes from a DNA defect which results in a broken receptor. This receptor is the main entrance mechanism for the HI virus, so if you don't have it or if it's broken, you're (mostly) immune.
So far so good, but the receptor plays an important physiological role in the communication between antigen-presenting cells, T helper cells, and killer cells. It is one of two receptors that together make the whole immune system work. Which means if it's broken then that's not precisely an advantage for survival, as your immune system is much less responsive overall.