I'm a pot archaeologist, and this is a question that history cannot answer. Questions about prehistoric technology really do boil down to the evidence in the archaeological record, and the extrapolation of details from the practical realities of materials, technologies and the cultures that utilise them.

My understanding is clay is pretty abundant all across the world, and all it needs is fire to cure it

Clay refers to several minerals derived from various parent rocks weathered down to little plates, two microns or less across. Clay as found in the wild is typically chock full of impurities, some of which are helpful to the potter, others are immensely annoying. As clay is highly soluble in water it is commonly found on the banks of rivers, palaeochannels. Yes, it is very abundant.

Hunter-gatherer groups are typically highly mobile across large areas, so chances are they would be near clay at some point or another. As a resource it is incredibly useful as is, and can be used for airtight(ish) storage underground. What you're asking about however, is ceramic.

You used the word "cure". Now, clay isn't simply dried out in a fire and then suitable for containers or building, if you introduced water to baked clay it will slowly dissolve back into sludge. In order to make it "water proof" (It'll be porous) you need to fire the clay into Ceramic in a fire at least 600 degrees Celsius (hotter fires are much harder to achieve, but can make more waterproof ceramics). The pot must first be dried out fully, at this stage the water that makes the substance malleable that is between clay molecules is evaporated. The firing however, causes a chemical change which drives out water from the clay minerals makeup, physically changing the clay into a ceramic.

This requires a clever control of fire, or the construction of kilns. Neither of which was done in Europe and western Asia until after the emergence of agriculture (Exceptions do exist in east Asia, but the exact details of that are outside my wheel-house). For a small handful of vessels you can do this with a cheeky bonfire by packing the fuel in a specific way.

So, simply put, ceramic technology was a thing that came just after agriculture, that is why hunter-gatherers didn't have it.

It would also seem clay tile roofs really don't take too much more effort and time to make than thatch,

To answer concisely: You are mistaken.

There is a lot of effort involved in digging out clay. As a field archaeologist, I assure you there is no more horrid a substance to dig than a thick slabby clay, even with modern steel tools. Digging sticks and wooden paddle shovels and scapula tools would be much harder going.

Getting enough clay to make tiles is a lot of effort, you then also need to process that clay, temper it with clean sharp sand or crushed rock (grass or dung works for vessels, but gives a very porous ceramic good for cold liquid storage, not ideal for roofing), you then need to shape an enormous amount of consistently shaped tiles, dry them out under cover in case it rains.

You then need to fire the tiles, which will take a lot of fuel. We're talking many cubic meters of dry wood, chopped and prepared such as to be suitable for a large, loose bonfire. For a house you'll probably have to do batch firings.

Or a very big kiln, which at a basic low effort level means you'll have to process a lot more clay and spend days or weeks building a flue, chamber and chimney.

In order to support this sort of activity, you'll need spare food produced by a community that can be spent supporting the ceramic specialists while they build the infrastructure, and in producing the tiles. Ceramic vessels can be done with far less effort than tiles, which are basically useless unless you have all the ones you need for your roof.

Plus you have to contend with tiles dying in the fire, cracking, warping or not getting hot enough.

Thatch by comparison is very low effort to gather, you simply gather grasses with your scythe (stone, or metal) and a clever fellow bundles it all together and lashes it to your roof.

but it would have been far superior to protecting you from the elements

This is, I'm afraid, quite an assumption that is not supported by facts.

Thatch works. It is incredibly cheap, relatively simple, breathable, and comparatively light. It is very very effective at keeping the rain out, and it allows smoke from the hearth to leave by percolation through the roof. The smoke can help slow rot, and prevents beasties setting up shop in the roof.

Ceramic tiles however, if not fired well enough, are too porous, will leak, and if you live somewhere that has cold winters, will frost spall. There are certainly advantages once ceramic technology is sufficiently advanced to ensure the tiles are strong, not too porous, and can be mass produced cheaply. This all requires a more developed economy and infrastructure.

The other major issue with a tiled roof is the weight. You need a far more substantial structure to support the weight of a tiled roof, which unless you have the millennia of accumulated experience with ceramics to make good tiles, it isn't worth bothering with.

References:

Gibson, A, 2002, Prehistoric Pottery in Britain and Ireland, Tempus

Rice, P, 2015, Pottery Analysis: a Sourcebook, (2nd ed), University of Chicago Press