Unlike a lot of other Kenner toys of that era, the toy series was designed in concert with the TV show. I think there's some various dynamics that played into this, but none that stand out as the sole reason it never happened
- M.A.S.K. was not a very popular TV show. It ran for only two seasons (1985-1986, with the 1986 series being truncated to 10 episodes and no sign of Shark). Like other shows of that era, the second season differed radically from the first (Kenner changed the toy lineup to be more geared towards racing). It's likely Kenner wanted to own as much of the intellectual property here as possible (unlike, say, Star Wars, which George Lucas owned all the rights to)
- Unlike the other M.A.S.K. toys, her car was a Porsche (a luxury car), which (at least in the US) probably involved hefty licensing to make it into a toy. And Mattel has long produced Porsche in its Hot Wheels toy line (including the Porsche 928). Matt Trakker's car was called Thunderhawk (which is not a real car model) and Series 3 featured Manta from V.E.N.O.M., a woman in a transforming Nissan 300ZX, which was probably easier to license (Nissan was not a luxury car, and this probably added some "cool" factor to it).
- It was an underwater vehicle, which made it different from the others (which were ground or air). That meant kids would undoubtedly try to play with it by dunking it in water... which is why water toys were never as popular.
Gloria did get her toy debut, but as the driver of Stiletto in their "Series 4" (of 4) release.
Ultimately (as the linked video in the question notes), there's nothing to suggest any of the usual suspects playing a strong role. The Shark was in about 1/3 of Season 1, with vehicles with less air time getting releases. She's a woman, but women character action figures were plentiful by this point, even in shows oriented at boys. There's nothing to suggest one reason over another.