I believe we haven't built radio telescopes in space because we don't need to, and building them in space would be a lot more expensive.

https://commons.wikimedia.org/wiki/File:Atmospheric_electrom...

This shows that wavelengths between ~10cm and ~10m are largely unaffected by the atmosphere, so you wouldn't gain much from putting receivers of those wavelengths in space. Spitzer and JWST (IR), and Chandra (x-ray) operate in bands that are generally blocked by the atmosphere, and Hubble gets better images than a similarly sized earth-based telescope because of the atmospheric distortion (stars don't "twinkle" when you're in space), however there are still earth-based visible light telescopes because you can more easily build a massive one on earth than in space