Because Luxembourg is small and irrelevant, and has a big name that covers a lot of the map. No offense to any Luxembourgers, but it didn't have the size to do anything of significance on its own. Note that several other countries also aren't labelled.
The Rhineland would presumably be important when it was showing earlier events as this appears to be a screen capture of an interactive timeline and probably include the remilitarization of the Rhineland (the marker in 1936).
Basically it comes down to, the Rhinland is more significant to the map than Luxembourg. Though, if making the map I would make the label for the Rhineland distinct from countries, that is the least of the map's problems.
The strangest thing about the map to me is that it is apparently based on a late 1990 or 1991 map (unified Germany with modern borders, but still an USSR, the baltics could indicate late 1991 or more likely refusal to recognize their annexation by the USSR). I could see a modern map or a contemporary map, but why that period?
Then what the map is supposed to be showing I have no idea. I would guess countries occupied by Germany at some point in time, but is grossly wrong.