He didn't have the balls to remove it. 
He said he liked having a dick. I guess shaving one's Adam's apple, implanting tits and with cosmetic surgery, feminizing the face don't mean much unless you get sexual reassignment surgery. Caitlyn has the same equipment as far as he's said. Isn't there a name for people who have both sexes by artificial creation? When this occurs naturally, they are called intersex or hermaphrodites.
Maybe these creations like the element of surprise. Imagine picking up a hot looking chick only to discover at the point of intercourse the said chick has a dick. I imagine some guys would be very pissed off.