Probably because most geneological records would have been lost on Judgement Day, when all the cities of the world basically got nuked simultaneously. They probably had to find out who John Connor's mother was the hard way - eavesdropping on the human resistance.
But then the question is, why didn't Skynet send back a non-lethal terminator, collect all the genealogical data that would be needed to destroy the resistance, have the robot "shut down" at a spot where the "younger" Skynet would obviously run into it, reactivate with the data, and then another robot sent back even farther to take out Sarah Conner's family?
Truth be told (if we are going to use logic here), I think it's more likely that Skynet worries that going too far back and altering the timestream may cause a much larger issue for itself. Imagine if it did send a terminator back to the Wild West. Imagine that terminator finished it's job and erased John Conner by killing his great great grandfather, but ultimately the terminator got shut down and stumbled on by a bunch of ranchers who sell it to the US Government. Let's imagine the discovery pushes technological advancement ahead nearly a hundred years. Skynet, at worst, erased itself from existence because the actions that allowed it to come into existence never fell into place as they should, and at best, made itself weaker because, let's say, without WW2, we may never have developed the atom bomb, giving it nothing to use to wipe out nearly all of humanity in a single sweep as all that stockpiling of nukes during the Cold War gave it. Fighting 8 billion people is harder then fighting 8 thousand.
By trying to kill Sarah Conner, it gets rid of the problem with much less of a chance of knocking out it's own existence, since it's not extremely far from Judgement Day. Even in the event it failed, as seen in Terminator 3, it was close enough to the point of creation that it's own birth was just delayed, rather then destroyed.
Then again, it's just a movie. I don't think we are supposed to scrutinize in that much.