They have to choose where they spend their money wisely. It's easier to do an event with the japanese VA's than it is with the English VA's which can only be determined once Atlus USA has a better idea of what the game is. Atlus JP can decide that stuff on the fly during development and begin preparing marketing materials as they go.
But it doesn't have to limit itself to VA. Look at Guilty Gear Xrd, Ace Attorney 5, Dark Souls II, Final Fantasy XV, Tales of Zestria, etc. Things like a worldwide announcement of the game, subs under a Japanese voiced trailer, a worldwide release, etc. could prove effective for a western market's awareness of a title.
I'm not sure what difference it would make, but take the Atlus USA Persona game trailers as an example. They were not voiced in English at all and were basically just translated and put out there months after the Japanese announcements (with some Japanese text still in some of them). Could those trailers not have been made available as part of the November announcement? If not, I'd be interested in knowing what marketing reasons prevented that possibility.
Global marketing budgets is probably a good point, but what if they were adjusted to fit more of a global market instead of totally prioritizing a Japanese one? The issues are probably much larger than I can even consider, but I have to wonder just how much more profitable, if at profitable at all, it would be for Atlus as a whole if that were to happen.
E3 is a business event to highlight multimillion selling games, first and foremost. P5 does not deserve or even need to be there or in a press conference there.
I love the show, but it's not a rock concert.
Uh, you mean just press conferences, right? Plenty of games on the showfloor are not multi-million selling titles.
And even in the conferences, we still get cases like the Sony E3 2013 conference indie showcase or other smaller games. There are also the numerous montages.