At the time, it would have fit. But in retrospect it would also have been wasted on that brief moment since the series moved on so quickly from even SSJG. On top of that, we still don't have a proper explanation of what SSJ3 even is, or how its attained, so while cool, it wouldn't have made a lot of sense, not that Super or anything past the Cell Games was so concerned with sense.
I was one of the biggest fanboys for Vegeta going SSJ3 that there was, but even I've lost interest with time. He's gotten a couple unique forms since then, so the idea of him being left out of the SSJ3 club is sort of lacking these days.
Plus Heroes shoved that fanservice down our throats already.