They probably did realize the value of quality cavalry (they hired it, after all), but were unable to set up such a corps themselves. Ordinary horses are expensive enough, never mind well-trained war horses. Combine this with the lack of equestrian tradition and good horse-country in Italy, and it becomes infeasible for the Romans to create a home-made cavalry corps that rivals the Macedonians. Nor could they rely on conquered nations to provide them with it: the heaviest cavalry is extremely expensive and after Roman conquest it is unlikely that the local aristocracy was still wealthy enough to patronize the expensive horse-breeders that could produce proper shock cavalry.
Nothing wrong with speculation. As long as it fits the known facts, of course. I know nothing of Judean or Phoenician (apart from Carthaginian) cavalry, so I am guessing you are right and they weren't very notable. But whether their overlords would have recruited such cavalry is not just determined by their quality, but also whether such recruitment is politically possible, and yields sufficient numbers.
The kingdom of Judea may not have been particularly rich, but the Phoenician cities were major trade centres. They would have had the wealth to do equip heavy cavalry, but may simply have lacked good horses and an equestrian tradition (like Rome and many Greek city states). Of course, I am not sure if they were still wealthy after Alexander and his successors had finished with them.
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