Because they value resources over drones.
While it's true that the Borg adapt to phaser frequency, they would rather lose a few drones than waste the energy and resources to constantly have defenses up. The Borg have shown time, and time again that they don't care how many of them die, as long as they get what they want. In fact, in the Voyager episode Scorpion: Part I, they sacrifice an entire cube on a whim so that they can achieve a greater purpose. In their collective minds, having a drone killed by a phaser is less of a loss than the effort it would take to guess at the initial frequency of a phaser blast. As SpacePhoenix noted in the comments, this is even further backed up in the Voyager episode Unimatrix Zero, where the Borg show that they would rather completely destroy several cubes rather than using the time and effort that would be required to scan them for a threat.
If they cared at all about saving themselves, why not have shields that cover all phaser frequencies? They'd lose fewer drones, but that's of no importance to them. Drones are a dime a dozen.
For the Borg, having constant shields up on their drones would be the human equivalent of putting a $1000 AC unit in an ant farm and paying $200 a month to run it. It's just cheaper to lose a few, insignificant, ants. However, once they've identified the modulation of their enemies weapons, they can economically protect against it. Again, not to save their drones, but simply because it makes achieving their goal a little easier if their drones don't die so quickly.
TLDR: Saving drones is just not important enough for the Borg to remember those small details.