Maybe their attorneys were not aware of such evidence. It wouldn't be the first time that a client was not totally honest with his lawyer or withheld information. In any event, the attorneys can't do anything against the wishes of their client nor can they release privileged information. Their "obligation to save their clients" is circumscribed.
Again, think of it this way: all EITHER attorney had to do was to introduce just enough evidence to create reasonable doubt and McVeigh doesn't die and Nichols gets a lighter sentence.
You are assuming the attorney had such evidence. McVeigh would have been sentenced to death whether he had Iraqi accomplices or not. The USG (read Clinton) had a reason to keep such a connection quiet, because it would have forced the US to confront Iraq and Saddam, something that Clinton was reluctant to do. It was much better politically to make OKC the act of White Supremacists
Clinton was too busy blaming the blast on Rush Limbaugh and "hate radio" to bother letting Janet Reno look into a terrorism connection.