It happened. Read about SPV mining, where mining pools started to mine blocks, without validating them, and how they lost their money, because there were enough full nodes to notice that they are building blocks on top of the invalid chain. And imagine that if we would have a lot of nodes blindly trusting the UTXO set, then it could stay unnoticed, and get deeply confirmed.

Also, there are cases, where pools lost their reward, because of things like sigops limit. By having only UTXO set, you cannot check such things, because then you don't have access to all scripts, you only know that some UTXOs should be changed to some other UTXOs.