Nor would we expect to, unless we were observe a biological system over millions of years. For a new family, order, or class to 'suddenly' appear faster than this would support creationism (of a sort), not evolution. We do, however, observe species in the process of macroevolution (read about ring species (#3) if you're inclined to learn something about it).
I don't know why creationists use this argument repeatedly; there is no fine line between microevolution and macroevolution. They're both the same process. What creationists call "macroevolution" just takes longer, and its past presence does produce testable consequences, even though not it is not directly observable. (Then again, neutrons aren't directly observable either - it doesn't mean they ain't there.)
And at each end of the ring we have distinct species that do not interbreed. A perfect laboratory experiment happining right in front of us.