For several reasons. First, if two players want to dance, it's fair, why not? The crowd comes to see it, and it adds excitement to the game.
Second, it can help control the game. Penalties only carry so much weight, but the threat of getting you kicked and the refs letting it happen helps keep players in line.
And third it's actually not in the rules that it's the refs job to stop fights.
It's also better two people square off and resolve their problems then stick each other.
Don't forget that the refs are looking out for themselves. would you want to try and jump in between to big guys throwing punches and possibly getting hit yourself or wait to they are on the ground where they are more easibly controled
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Referees in the NHL do allow hockey players to fight. The fighters, however, might be penalized, if the referee deemed the fight to be extremely dangerous.