There is good reason for that. According to this Wikipedia page, "Pope Pius XI instituted the Feast of Christ the King in 1925, in response to growing nationalism and secularism. In Pope John XXIII's 1960 revision of the Calendar, the date and title remained the same and, in the new simpler ranking of feasts, it was classified as a feast of the first class." So this is too recent a development to have been included in the medieval Sarum calendar.
And in fact, the 1979 Book of Common Prayer does not list this day as a feast day, either; it's simply "The Last Sunday After Pentecost" - the Sunday before Advent starts.
So, to celebrate this non-feast day, I will post part of this article from the newsletter The Angelus, by Stephen Gerth, Rector of the Church of St. Mary the Virgin:
The Episcopal Church does not call the last Sunday of the Church year “Christ the King.” In our Prayer Book it is simply “The Last Sunday after Pentecost.” Yes, our prayers and lessons are about the kingship of Christ. At Solemn Mass and at Evensong we will sing some of the greatest hymns on this theme. I think our Episcopal Church’s particular decision merits wider and greater appreciation.
Since its earliest days the Church has had a feast of the kingship of Christ. It’s Epiphany, which along with Easter, Pentecost and Christmas are the great ancient celebrations of the Church. Note that aside from Trinity Sunday, the liturgical tradition does not have thematic Sunday observances. Our celebrations are rooted in the historical events of Jesus’ life, death and resurrection. Our days and our lives find their meaning in his life, in his gospel.
The Christian community is plagued, world without end, not only by anachronism – reading the present into the past, it’s also plagued by amnesia – forgetting what has been. In origin, Christ the King wasn’t about Christ; it was about the pope. I have a hunch that some leaders of our Church remembered this as the 1979 Book of Common Prayer was being created.
In 1925, Pope Pius XI had yet to make the treaty with Mussolini that would turn the Vatican into an independent city state. Like all popes since the loss of Rome in 1870, he considered himself a prisoner of the Vatican. His encyclical Quas Primas proclaimed the celebration of Christ the King and fixed it on the last Sunday in October. The pope gave a very clear reason for its institution: to fight anti-clericalism. I think it’s fair to say that the liturgical reformers of the 1960s and 1970s quietly ignored its origins. They moved the feast to the end of the Church year with a focus on the time when God will be all in all.
This parish, like the Episcopal Church, stands for a particular theological and historical Christianity. We are certainly not perfect. But since I encountered the Episcopal Church and the Anglican tradition in college it seemed to me then, and still does, to embrace what is best of the Catholic and Protestant experience. Our commitment to Christ as Anglican Christians has survived monarchs, revolutions and civil wars. We found a way to end slavery. We are working to find ways to welcome all into the life of God’s Church. We continue to work for conversion, justice and freedom. Episcopalians care and give to help those who are hungry, to those who will never have the capacity in this life to take care of themselves. We try to tell the truth about what has been and what we believe God plans in his love for us. I am very proud to be an Episcopalian.