So how come this show doesn't depict olympic sports

How come you managed to type almost a whole sentence with correct grammar, orthography and syntax?

Probably the war effort got in the way? I would have to check my history notes I'm not sure they had the Olympics during the war.

First of all, their are really only two nations left -- the German Empire and the Japanese Empire. I'm sure their are other semi-autonomous regions, plus there is the Neutral Zone, but for the most part there are not a bunch of countries that would all come together peacefully in one place to compete in sports -- which is the point of the modern Olympics.

I suppose that there might be something akin to the Olympics that the Germans have implemented in place of the Olympics -- such as having athletes come from all parts of the Reich come together in one place to compete in sporting events, but that leads me to my second point...

...which is, why would we need to SEE or BE TOLD of such an event for it to possibly exist within this world? Maybe there is such a sporting event in their world or maybe there isn't, but just because they never mentioned it does not mean it does not exist.

There are probably a lot of things that exist in the Reich that we don't see depicted -- e.g., movie making, plays, the corporate world (I'm sure there are still businesses being run, even if it's controlled by the Reich), manufacturing plants, clothing stores, etc.

Heck -- They never depicted a farm in the American Reich, so maybe they don't have farms.