The main problem here is that in competition triathlon suits with sleeves are illegal. ITU and WTC rules prohibit tri suits that have sleeves – short or long.
ITU Rule – Swimming. Athletes must not use:
“Clothing covering any part of the arms below the shoulders”
What is the rationale behind this rule I do not know, because I am not a triathlon athlete, but people are asking for long sleeved suits for protection from the sun all the time (more triathlon wetsuit faq can also be found here). Because of this rule lots of the tri suit manufacturers don’t make suits with sleeves or they are at least harder to find. I know Blue Seventy makes long sleeved suits, you can get them here.