Actually they do. Recall that part of the oath is forswearing any allegiance to foreign powers.
They just understand that we will not do this, so blink and let it go. But if Trump wins in 2020 he might try to seize citizenship from some of us if he discovers that we are still using foreign passports. They know about those of us who do.
They ask you put them first.
I do not want to argue Trump winning or not or what he will do. I have faith in the American system to isolate a political virus and quarantine it and treat the infection if it occurs. It is that beacon on the hill or start speaking Chinese. Which do you think Americans prefer?
"I hereby declare, on oath, that I absolutely and entirely renounce and abjure all allegiance and fidelity to any foreign prince, potentate, state, or sovereignty, of whom or which I have heretofore been a subject or citizen; that I will support and defend the Constitution and laws of the United States of America against all enemies, foreign and domestic; that I will bear true faith and allegiance to the same; that I will bear arms on behalf of the United States when required by the law; that I will perform noncombatant service in the Armed Forces of the United States when required by the law; that I will perform work of national importance under civilian direction when required by the law; and that I take this obligation freely, without any mental reservation or purpose of evasion; so help me God."
Here you go.