Simple reason is power delivery and output voltage. At best you will supply a minute current through the wiper, and if you connect any load to the output it will quickly drop. Try again , but use a plain LED that you do not mind destroying and see the voltage across it as you vary the pot.
Another reason is that the output depends both on the input voltage and the load current, and both are variable in a power supply, the pot can be used across a reference supply to supply a high power amplifier to drive the output, basically a power supply.