Enzo's right: either they haven't been convicted of a capital offense, or the government couldn't find witnesses that linked them directly to murders. Massino escaped the death penalty because he cooperated with the government. Gotti was convicted of complicity in the murder of Big Paul Castellano, but it was a federal charge, and the feds have very little precedent for executing defendants in federal crimes. Plus, it would have been difficult for them to get a jury to convict him in a death penalty case on the basis of Gravano's testimony, IMO.
The only major organized crime boss to get the death penalty was Louis (Lepke) Buchalter, who went to the chair in New York in 1944.