I had never heard of Shakespeare doing a play on Sir Thomas More, so I looked it up on Wikipedia. It says:
> The play is considered to be written by Anthony Munday and Henry Chettle and revised by several writers. The manuscript is particularly notable for a three-page handwritten revision now widely attributed to William Shakespeare.
I guess that's why it doesn't show up in usual collections: it's a little weird.
https://en.wikipedia.org/wiki/Sir_Thomas_More_(play)#Authorship