Depends where and for what. I spent 20 years in Denver and never once did a practice approach without ATC, whether the destination was towered or not. The same was true when I did my instrument training out of a nontowered airport near BDL.
Where I am now, it's more common to go without unless using one of the towered airports or Class Cs. I wondered, as you do, why not? Having used ATC a few times for "realism," I understand. The few times I've tried, it's been disappointing. They didn't seem to want to be bothered. In one, I asked for vectors for the ILS. The response was, "altitude at your discretion." Really? Basically, they didn't care. If you listen to Opposing Bases, they are forever dissing "Duke" about not knowing how to do practice approaches. Not quite that bad, but it's so hit or miss that one might as well wait until you practice under IFR. Or go a little further where the controllers are a little more accommodating.