Why not we should prefix stored procedure names with “sp_”?

stored procedure starting sp_ indicates that these are system defined stored procedures

Because it is a reserved keyword for system stored procedure.

The prefix sp_ is reserved keyword for system stored procedures that ship with SQL Server. Whenever SQL Server encounters a procedure name starting with sp_, it first tries to locate the procedure in the master database and then it looks for any qualifiers (database, owner) provided and then it tries dbo as the owner. So you can really save time in locating the stored procedure by avoiding the sp_ prefix.