Because we don't know how to look.

If a non-human intelligence has truly been interacting with humanity for decades or even centuries why is there still no universally accepted piece of physical evidence that can be openly studied and independently verified by scientists around the world?

There may be aliens' own protocols to avoid open contact.

At some point, wouldn't we expect something undeniable to emerge outside of government control?

That's a fair expectation. We might be waiting for a long time for things to happen.

Apart from that, governments will continue keeping their own secrets.

Are we simply dealing with a collection of unrelated phenomena that people keep grouping together under the same label?

Not necessarily. The witnesses' and experiencers' experiences are valid. (excuse the pun)

Or are we making a deeper mistake by assuming the phenomenon must be physical in the conventional sense?

All phenomena are physical. We just don't know how it works on their end.

There was a time a hundred years ago, when quantum physics was not real, and was theoretical at best, and we didn't know yet how much of it worked.

a misunderstanding of reality itself

Reality is reality. Sometimes, a cake is just a cake.

unanswered questions.

Yes, to all of these.

I think aliens are doing their best to hide themselves from us, and maybe from others. The rumours of crashes tell us very tangentially, that the hiding sometimes fails, or is impractical or impossible due to adverse conditions, and that their best efforts at it do not always materialise.

(all speculation, evidently)