Lookup has complex set of APIs to function in full capacity and we are evaluating if we can release the support in staged manner. This workitem is under review currently.
I do understand that some type of attributes can be harder to integrate (especially regarding Canvas app), but I really think all data type from CDS should be supported
Marking this idea as complete - https://aka.ms/PCFBLog with the recent release we added support for Simple lookup and MSOS (Multi select option set)
Hemant