People make yogurt by fermenting coconut milk. Why has no one ever made cheese?
Your question is based on wrong assumptions. Depending on your preferred definition, they have made both coconut yogurt and coconut cheese, or they have never made either.
If you choose a strict definition of "yogurt" and "cheese", then it is biologically not possible to make yogurt or cheese from coconut milk. Yogurt is made by fermenting dairy milk with certain strains of lactobacillus (or a few other bacteria species), which digests some of the lactose in milk, and denatures the proteins to a certain degree, resulting in the well-known texture of yogurt.
Coconut milk is chemically totally unlike dairy milk. If you add lactobacilluis to it, it cannot establish a colony, because the environment is totally wrong for it. You cannot ferment coconut milk with yogurt cultures.
Update: somebody commented that one can ferment coconut milk. I still wouldn't see this as yogurt. First, it is unlikely that it is done with yogurt cultures. Second, I would be more inclined to see the result as related to kvass or to boza, than as related to yogurt. Third, fermented coconut milk won't have the fine denatured protein mesh that gives yogurt its texture, it will have to be thickened by other means to become yogurt-like, as described in the next paragraph.
In recent times, some food producers have started making non-dairy yogurt replacement, some also using coconut milk. In that case, the lactobacillus is fermented in a medium in which it can establish a colony (I don't know if the coconut products are already added at that stage or not), and different plant-based ingredients are used to achieve a substance which has the optic appearance and the spoonable texture of yogurt, but does not taste like yogurt. Chemically, it is quite different from yogurt, but for many eaters, especially those starved for yogurt due to a restrictive diet, it is a good enough substitute.
There are also plant-based cheese substitutes, and in recent years, they have also gotten rather close in texture to real cheese, especially if you are not picky about closely imitating an exact type of cheese, but are only looking for something that melts nicely on a casserole or provides the right tang and saltiness in a salad designed with Feta in mind. A lot of these also use coconut-derived products as part of their ingredients.
But note that both of those types of product are 1) not actually yogurt (or cheese) but substitutes that have slightly similar sensory properties, and 2) are not made with the same method as cheese or yogurt. Since coconut milk does not behave like dairy milk chemically or nutritionally (in that case, nutritionally from the point of view of a lactobacillum), you cannot follow the same process as for dairy milk and get the same result. That would be like providing honey bees with cat food and expecting them to produce beeswax and honey.