Why doesn't each emergency room have all available blood types on hand in small blood-ready fridges?

As a quick general world answer, some do, some don't, and blood transfusions aren't a quick "Just match blood type" procedure. Tests should be run, and only critical emergency situations merit unmatched blood transfusions. If you can't wait the few minutes for testing and transportation, the trauma victim is in severe enough condition to use the emergency O blood. Otherwise, it's not an emergency.

From The University of Michigan hospital blood bank rule book:

If blood is not currently available, the technologist can then determine the extent to which compatibility testing can be performed. As the amount of compatibility testing decreases, the possible risk of transfusing incompatible blood increases. Depending on the availability of a specimen and current status of testing blood may be released as

• Uncrossmatched red blood cells
• Type specific blood
• Testing in process but antibody screen, crossmatch or antibody identification incomplete; antigen negative blood unavailable

Emergency Release Documentation
The Transfusion Record Form of emergency released units will contain the caution that the blood is being released on an emergency basis. The physician authorizing the emergency release must sign the Emergency Request section of the Blood Bank Requisition Form and return it to the Blood Bank. Blood specimens and requisitions must be appropriately labeled. Many hemolytic transfusion reactions have occurred under emergency conditions when routine patient identification procedures are ignored or circumvented. The Blood Bank will complete testing and notify the physician of the results of testing. Temperature monitors are attached to assist staff in determining if blood has been properly stored. The beads in the R & D indicator will have moved from the rounded end of the indicator if the blood has not been maintained below 10 C.

Related to the O Blood bags:

Group O Red Blood Cells are issued when a blood sample cannot be supplied, and/or the patient's blood is not available in the Blood Bank for typing. A blood sample should be drawn for typing and crossmatching before transfusion is initiated.

A Related Study:

Patients receiving uncross matched [Red Blood Cells] in the [Emergency Department] are more than three times more likely to receive early [Massive Transfusions] of RBCs. Additionally, patients transfused with ED RBCs are more likely to receive 6 units or more of plasma and two or more apheresis PLT transfusions. Given these findings, ED transfusion of uncrossmatched RBCs should be considered a potential trigger for activation of an institution's MT protocol.
-© 2010 American Association of Blood Banks.

Again:

DOING IT QUICKLY BUT SAFELY: PROVISION OF UNCROSSMATCHED RBCS AND PLASMA
Trauma patients often receive uncrossmatched group O RBCs before any compatibility testing can be completed. ... When issuing uncrossmatched, type-specific units for transfusion, the potential for acute ABO-incompatible hemolytic transfusion reaction due to a mislabeled speci- men for blood typing is a major concern,

Of course, commercial medical equipment manufacturers step up:

Emergency Department: Store blood where you need it most
The emergency department is one of the busiest places in the hospital. In such a fast paced environment, you need a system that can respond as quickly as you do. BloodSafe® makes blood available immediately where you need it — from secure, “smart refrigerators” located in or near high-need areas like surgical, trauma or emergency.