Lord Simian wrote:
To protect the copyright. If you don't sue one person making money off of your copyright without permission, it makes it harder to sue the next person who does so. Same reason Disney sued a day care center for painting Disney characters all over the walls, according to the Mouse.
I'm sure Disney ESPECIALLY has investigated it; as you mentioned, they don't usually miss a chance to sue if they can help it. Most likely, cosplay falls under parody, which has been protected speech since Mad magazine won a lawsuit back in the '60s.