They actually made a point of that in MGS3. Can't remember what was specifically said, but the Major does emphasize destroying the whole lab as opposed to just destroying the Shagohod, as if the research material does survive then Volgin could just use the tens of billions of dollars he has to just build another one. As for the rest of the research material, Sokolov burns the stuff he has on him when Snake tries to extract him the first time around, then his test lab any anyone else who would've known the specifics about the project was blown up when Sokolov's lab was destroyed by Volgin and his Davy Crockett, and anything left on Grozny Grad that wasn't destroyed when the hangar holding the Shagohod and all its test data would've been destroyed when the Boss blew it up with her Davy Crockett.
That was actually the first question that popped in my head at the end of the first chapter of TPP, where Miller insists that they can't let the world know that Sahelanthropus exists: can't the Soviets just build another one? I mean sure, we nicked Huey away from them, so he can't be relied on anymore, but by the end he's still alive and perfectly capable of just getting in contact with another major power and building it for them instead, and as far as I know the Soviets or what's left of XOF still have all the research data.
Peace Walker made a point of saying Huey just used Granin blueprints, of course he died in Snake Eater so they survived so he could get his hands on them. Plus its not as if they would not notice the Peace Walker and ZEKE, Zadornov was KGB.
Shagohod isnt the problem, that wasnt a bipedal walking tank or even from Granin but from Sokolov, it died along with its creator but then again, who is Man on Fire? Do I have to point out the inconsistencies because they recovered Volgin's body yet THE FUCKING ARMORED TANK he was on was a total lost ... seriously ... why he is even in the game?
Its been 9 years since ZEKE and Peace Walker and Sahelanthropus was developed in Russia for reasons so its not as of they could not do it because, THEY DID and they did it not based off Sokolov's Shapohod (Battle Gear is closer to it) but rather Granin design that lead to Peace Walker and ZEKE, Sahelanthropus is the
3rd of Granin design.
And yes, its a good question of why not ... even if Skull Face was working alone its still a question of why the project just vanishes until TX-55 and Metal Gear D about a decade later, also what happens to Sahelanthropus? Its not as if Huey forgot how he build the damn thing and he cannot die for a few years anyway.
If Sahelanthropus was a weapon created to wipe out insurgents and guerrillas as well possibly having short and medium range nuclar delivery capabilities you can see how it would upset the balance of power, it would make the Soviets winning a tech race that would give then control of countries in all over the world, Soviet backed countries would wipe US sponsored movements and also make soldiers like Big Boss IRRELEVANT in the battlefield, its not as much a threat of nuclear war but rather, the end of what Big Boss interpreted as The Boss Legacy.
Simply the story is a fucking mess that doesnt even use the twist to have a constant theme by attempting to mirror what happened with Peace Walker was going to happen again, only way to stop it was winning the race ... that is TX-55, the same deterrence they had with ZEKE.