They did, eventually. The first PlayStation was relatively easy to pirate for (with a mod chip), but it took a while for that stuff to become available. Someone had to go and manufacture the chips, or reverse engineer the check.
By the time that scene matured, Sega released the Dreamcast right into a more sophisticated piracy scene that could apply lessons learned to the Dreamcast right away.
On paper, Sega had more sophisticated copy protection than the first PlayStation did. But it also released 4 years later.