Because Kosh knows that Lorien is there. The Shadows certainly do.
From Season 4 Episode 2 "Whatever Happened to Mr. Garibaldi":
Lorien: You're the first to make it this far.
Sheridan: Do they [the Shadows] know?
Lorien: Of course. That's why they come back to Z'Ha'Dum every time they're driven off. Because I'm here. They think they're showing respect. They don't understand. They used to. But that was a long time ago. A million years.
Sheridan: You don't look a—
Lorien: No, I don't. Well, not at the moment.
Glowy thing: Who are you?
Sheridan: That was you.
Lorien: Perhaps. We all have secrets and surprises. Did you know you have a Vorlon inside you? Well, a piece of one.
Kosh (in flashback): If you go to Z'Ha'Dum, you will die.
Kosh (in flashback): Jump. Jump now!
Lorien: Is that its name? I think I met it once long ago.
Sheridan: He told me to jump. Did he know?
Lorien: That I was here? Almost certainly.
(Transcript taken from Springfield! Springfield! and made more readable by me as I rewatched the relevant part of the episode.)
To be completely nit-picky, there is not 100% confirmation that Kosh knew, but I doubt Kosh would tell Sheridan to jump down into the deep pit with Lorien in it without good reason. And Lorien certainly seems to think that Kosh knew.
Since the Shadows knew that Lorien was there, since the Vorlons share information with each other, since the Vorlons and the Shadows both know things about each other that they're not interested in telling the younger races, and since the First Ones all seem to respect Lorien, it seems plausible that the Vorlons in general know that Lorien is there.
Additionally, JMS has a couple of things to say (quotes taken from the JMS Speaks section of the Lurker's Guide page for Z'ha'dum).
[Question:] Did either side foresee Sheridan's leap?
[JMS:] I think the two sides have been too caught up in their own agendas to realize what was happening right under their noses until it was too late... except for Kosh, whose last traces did what they did...for a number of reasons.
This strongly implies that Kosh knew.
[Question:] 1) Why has Z'ha'dum not been destroyed by the Vorlons et al in one of the previous wars to prevent the Shadows return?
[JMS:] Funny, that...you'd think maybe there was something of interest there.
This strongly implies that the Vorlons knew.