A powerplant is optimizing for producing the most energy from their feedstock. Incomplete combustion means they would be throwing out usable energy, that they could earn money from.
Complete burn is not guaranteed to be 100% clean. If you don't filter coal plants you get all the nasty up in the air.
If you could burn something at a level you don't need exhaust filters, and that even doesn't clean up all the harmful particles, we'd be building coal plants everywhere, rendering PV and renewables (and even nuclear) research unnecessary.
You throw out usable energy every time you fill your car's tank - unless you shake the handle vigorously and wait several seconds to make sure every last drop made it into your tank.
Likewise, power plants won't spend inordinate amounts of effort to get every last drop burned.
