It’s no like they cannot at all but…
- They can’t do it really tightly because roads run through centres of hexes and rivers run along their edges.
- They rarely do it for long. Roads connect settlements and they "try" to be as short as possible (where terrain allows). So for a road to follow a river for a noticeable length, two settlements need to be located at the same river and that river needs to run straight between them.
- A road following a river is a nice image, but I don't think it happens much in real life. Essentially rivers make roads unnecessary, at least if we are speaking about roads for carts, caravans and stuff, not mere trails.