Could it be that the substrate is too compressed for the tarantula to excavate and dig in? I had the same problem with my H. lividum (Cobalt Blue) before.. It wouldn't burrow despite the caves and starter burrows I created. I later realized that I had compressed the substrate too much that the tarantula found it too hard to dig.

Or.. maybe your tarantula simply doesn't find it convenient to burrow and is much more comfortable out in the open Ditto on what edie said.