Each additional kilogram of the rocket is probably extremely expensive. I don't how much weight would that extra protective layer add, but I can imagine it could more than double the weight of the rocket, and the weight of the fuel it needs, etc.
Look at the Tsiolkovsky rocket equation - a rocket's delta-v (velocity change potential) is proportional to the log of its mass ratio (its mass with fuel divided by its mass without fuel). For modern rockets, that means about twenty kilos of fuel for every kilo of anything else (the rocket included). You really don't want to add structural mass if there's any way to avoid it.
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