The same holds for Leanne Wood of Plaid Cymru. She's a Welsh AM and the elected leader of Plaid.
Does it really matter to you who is the face that represents the party and its platform during the election campaign? It's not that the Westminster MPs hold wildly different views than the decided-upon platform, otherwise they would not stand for the party. And for these two parties, it's just natural that the gravity point of their politics lies in Edinburgh resp. Cardiff, not in London, and so the elected leader is someone sitting in the Scottish/Welsh Assembly, not in the UK Parliament.
Once election time is over and parliament in session, you'll surely hear from the SNP MPs, and not from Ms. Sturgeon as their ventriloquist.
In the reverse, what happens in the UK when there are local or regional elections? Do you also have national TV debates? We have, in the Netherlands, and then the national party leaders go on TV to debate each other, even though none of them are standing for provincial assemblies or town councils.