We presume they did, it just wasn't shown onscreen, for two reasons. First of all, so it wasn't a big sensational event, and second of all, so that the network didn't brick themselves. In fact, it was done so seamlessly that I never actuallyn realised The Body was the first time until I heard the commentary.
I loved the scene with Buffy, it was beautifully done. Buffy says she's okay with it, but she's clearly not. (A brave move by the writer, to depict the heroine as uncomfortable with it...) The thing is, she wants to be okay with it, because Willow's her friend. Aw.
It's easy to forget with hindsight how astonishingly brave it was. Can you imagine Friends doing it? (I will concede that Carol and Susan was a big step too...) I grew up with StraightWillow so it was something of a shock to hear that's what was going to happen, but the arc was handled beautifully. I do remember though, that there were some people who were outraged, for various reasons. People who came to Buffy knowing about Willow probably can't imagine it, but some fans were furious that their Willow had "turned" gay. While I won't argue that she was supposed to be gay from the start, or even from the start of her relationship with Tara, I did have difficulty understanding why those people couldn't see it as a natural progression for Willow's character, and instead just wrote it off as exploitation or adding a token minority character.
The thing is: S4 was what? 4 years ago? 4 years on, I can't think of a single other gay character who's sexuality is part of their character rather than their defining attribute. 4 years is a long time in TV land, and BTVS is still a groundbreaker. Willow was a fully rounded character who just happened to be gay. Networks can say what they like, but it's arse - they are extremely unhappy about gay characters, and if the rumours about Amber Benson and Global Frequency are to be believed, they're even worse than I thought.
Having said all that, and I hate to quote my own post but...
I am increasingly inclined to believe that just like her Vamp counterpart, Willow was supposed to be Bi rather than your garden variety lesbian, at least until S7. First of all, there's the Xander and Oz thing, which I actually can buy as the "safe" loves of a confused young teen. But Hannigan herself seemed to reckon it a case of person over gender, and Joss has made it clear that no character was 100% either way. (Xander was a little camp occasionally, as were Giles, and Spike, and Angel, and I know folks who would fight til their last tooth to argue that Season 4 could have been a kind of college Xena if Buffy and Faith had remained on good terms) After the death of Tara (I think it was Noxon who said this, not sure) the decision was made that Willow's next significant other would be female, because it would suggest that Tara had been "a mistake" if Willow had a boyfriend. The problem is, lots of WillOz fans think that Kennedy proved the same thing about Oz... And I don't think it's unfair to say they seriously overcompensated by making Willow, in the words of boilsandblindingtorment.com, "the gayest gay gal in gaytown".
Ordinarily, I'd consider it mildly insulting to the intelligence of myself and my fellow fans that the shows' makers would think it beyond us to grasp the concept of a photogenic bisexual central character, but I recently spent an evening trying to explain the plot of Bound to my flatmates.
"No, look, for the last time, they're both girls...."