The reason why Southgate didn't do it (and why WEM won't either) is because then they'd be responsible and liable for security issues in the connection, which, unfortunately, is a problem with the LRT (which, again, could very well be solved by having turnstiles, since I doubt people would go to these places walking).
I know from good authority that WEM, for example, considered adding a direct connection to the malls top floor, but decided not to do so due to this particular reason, I suspect Southgate is the same.
In this case of Bonnie Don mall, there is no internal connection, which makes it a different situation.