Many factions aren't exactly encouraged to produce DU, since it's primarily a by-product of enriched uranium. Not going into details because of Rule 4.
Portions of the public are also nervous when they hear the word Uranium, linking it to nuclear weapons, radiation hazards etc. (Just ask Joe Average what a long half-life means!) Actually the bigger problem is toxiticy, as chanman mentioned.
The search for other metals reaches its limits when we run out of stable elements. The densest stable elements available in usefull quantities seem to be Osmium and Iridium both at ~22.6g/cm3. Platinum, Rhenium, Plutonium, Gold come next, then we get Tungsten at ~19.3g/cm and Uranium at ~19.1g/cm are next.
So for density we have already arrived at ~90% of the possible maximum.
But we don't only need density but also hardness and tensile strength, which some of the listed materials simply don't provide, aside from price considerations.
So when we balance density, hardness, tensile strength, behind-armor-effects, public opinion, political costs and price, we will probably choose between Tungsten and Uranium for some time to come.
/edited according to Daryk's post, below
