On the CPU and GPU you have a wide flat surface that is perfectly flat and you can get an attachment with less than .001 gap between the parts. In cases like these you use paste.
On the VReg you have multiple components that are individually soldered to the board, with gaps and components in between. While they all may look parallel and flat, a closer inspection will show that they are not even close. Attempting to place a single flat block across them all will leave some with partial contact, or no contact at all. Paste does not work very well in cases where you have inconsistent gaps and is prone to flow out from between parts where there are larger gaps. This is precisely the reason that tape is used in these cases, it fills the gaps, transfers the heat, and will not go everywhere/anywhere.