Yet they each have different rules about how delegates are allocated. Why?
Because the US constitution allows them to set their own rules for the allocation of delegates. Or to be precise, it doesn't explicitely forbid it and therefore the Tenth Amendment comes into play:
The powers not delegated to the United States by the Constitution, nor prohibited by it to the States, are reserved to the States respectively, or to the people.
And since each of the 50 States has its own government, there are differences in the laws of each particular state. That's all there is to it.