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I find that mildly surprising (but only mildly); could it be related to your areas of concentration?
It can be argued that Riemannian integration is more closely connected to numerical methods, or at least to historical such methods -- which reminds me that Scientific American had an article (maybe in the Amateur Scientist column -- ah, those were the days) back in the day about cutting out rectangles under a curve drawn on a piece of paper. :)
Measure theory is more general, usually more abstract, and usually less immediately useful for numerical methods, no?
Aside from that vague handwaving, well, different institutions have different fads (or subcultures, if you prefer), so who knows.
In any case, I have no doubt but that if what you studied *needed* measure theory and/or Lebesgue integration, then surely you would have found a way to cover it -- and that since you say you didn't, I guess you didn't need it.
(At this point I guess I should ask out of curiosity, what were you interested in at the time?)
As for sigma algebras in particular, to whatever extent they could be separated from other approaches to measure theory, for some reason I've had the vague feeling that they weren't *that* widely in vogue until more recent decades -- but I see that they're in Rudin's Real and Complex Analysis, so maybe I'm just plain wrong/confused about that.
At this point I'm starting to wonder if I'm just babbling; I'm short on sleep. Please have mercy if I'm speaking nonsense.
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