I would have guessed it had something to do with the Screen Actors Guild. If a director wants a cool cameo of a big star, but the producer has set a budget of $10 million dollars for the casting, an uncredited actor can, as a favor to the director/fellow actor/etc., be cast uncredited at low or no cost, bypassing some SAG regulation.
I don't know much about SAG's requirements, though, but I suspect that has more to do it than mere surprising of the audience.
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