Indeed, why italicize anything? All such choices are conventions. Conventions change, and in any case a given writer or editor is free to thumb her or his nose at convention. Will the average reader notice? Probably not. Will there occasionally be a reader who notices? Maybe. Will other writers and editors pick up the baton and run with it, or will them fumble and drop it, or will they consider your approaching from behind with a baton a threat to their personal well-being, given they did not know they were standing on a track?
Writing and editing that flout convention just for the sake of flouting convention tend to draw the reader’s attention away from the content and to the writer and editor. That can be quite satisfying for the young, insecure, narcissistic writer trying to draw attention, but it does little for the reader and nothing for the editor.
Many editors tend to be conservative about retaining conventions long past the point that they even make sense. Others are more open to gradual change, adapting to the usage and vocabulary of new generations. Gradually, conventions morph.
With respect to italicization, the underlying rationale is reduce ambiguity. Queen Elizabeth II was a ship. Queen Elizabeth II is not. The common practice of italicizing foreign words may be related to the similar practice of italicizing any unfamiliar term when introducing and defining it. Once something is generally accepted by dictionaries as an English word or phrase, it is no longer italicized. But in the meantime the italics signal to the reader that a foreign lexicon is in play. Many style guides enforce this standard; some do not. C’est la vie.