One of the questions I get asked alot is "how come sleepsacks don't have sleeves?" A good question which has a good answer!
As a safety product baby sleeping bags should offer warmth, but also adequate air circulation. To allow for the best of both worlds baby sleeping bags are sleeveless so you can layer pajamas underneath as needed. For example, if it is warmer you may choose lightweight pajamas or just a long sleeved top or onsie. If its is cooler you can choose fleece pajamas to go underneath.
This layering system not only offers more versatility for your baby sleeping bag, so you don't need a new one for every season, it also ensure you can control the temperature and air circulation more effectively.