At least as far as Anne Boleyn was concerned there is a vague chance she still harbored a sliver of hope for reprieve.

But really it comes down to politics and nobility. Having someone who had been executed as a traitor in the family was scandalous and dangerous for the family members left behind. There was a certain etiquette for executions where the best dignity someone could show when being executed was to maintain their composure and give all the niceties to God and their monarch. They were also 'supposed' to forgive their executioner. The whole act would be a final show of repentance so that they would have a 'good death'.

Getting on the execution block and cursing Henry out would have been a disgrace to the person being executed, to their family, and would have made them seem less a victim than anything else. Anne in particular wanted an air of innocence in her execution even though she spoke well of Henry. Catherine Howard wasn't innocent, per se, but she knew better than to disgrace herself and family further by 'making a fool of herself' at her execution.

Anne was praised even by her critics for the nobility with which she died and the grief of her ladies.

It wasn't just an English practice, nobility in other European kingdoms would be 'expected' to do the same. In a society where honor and religion are paramount and you're already being executed as a criminal and potentially wreaking havoc for your family, you wanted your end to be as dignified as possible.

Anne also particularly wanted Henry to care for Elizabeth, and risking his petty ire or making Elizabeth look bad by behaving 'badly' at the execution wouldn't have been wise. Her actions reflected on her daughter too.

I don't believe Catherine Howard was in love with Henry. He was forty-nine and in ill health, she was roughly seventeen [give or take] when they wed, and she seemed to have been enamored with Thomas Culpepper. Anne most likely was in love with Henry at some point, whether or not she was when she died. But not just the wives of Henry, any noble he executed would have been expected to go through the same sort of ritual of commending themselves to God and parting kindly from their monarch.