There are some threads on Stack Overflow dealing with implementing priority queues in .Net and C#.
My issue is of a more basic nature: Why isn't there a priority queue out of the box in the .Net framework? Even the C++ Standard Library has one.
There was a question a while ago (why C# does allow non-member functions like C++) which prompted Eric Lippert to write a blog post about the reasons why. In it, he explains:
I am asked "why doesn't C# implement feature X?" all the time. The answer is always the same: because no one ever designed, specified, implemented, tested, documented and shipped that feature. All six of those things are necessary to make a feature happen. All of them cost huge amounts of time, effort and money. Features are not cheap, and we try very hard to make sure that we are only shipping those features which give the best possible benefits to our users given our constrained time, effort and money budgets.
I suspect that is probably the answer to why .Net does not ship with a priority queue - there was just not enough time, effort, money, demand(?) to implement one.