Our fully insured dental and fully-insured HMO have said that they do not enter into Business Associates Agreements with the sponsors of the plan
why would this be?

Insurers are not considered business associates of the fully-insured plan.

Do you have a site?

164.502(e)(1)(ii)(B).

Just as an additional bit of info, under the HIPAA privacy provisions the insurer itself is a "health plan" and has a compliance obligation as such. So, because the insurer has to comply, there's really no need for a business associate agreement between the insurer and the employer-sponsored plan.