pH is a measurement of the hydrogen ion concentration in an aqueous (water) solution. If you put a drop of phenolphthalein (PPT) solution on a dry soap surface, there's not much free water other than the water of the PPT solution, right? If you think about it, it makes sense the PPT solution would not work in this situation, because technically there is no "soap pH" to measure.
"...why everywhere where there is something written about testing the pH, they drip phenolphthalein directly on the soap with no soaking? ..."
Not that I've read all there is to read about the use of PPT in soap making, but the PPT tests I have read are usually done on a sample of fresh HP soap taken direct from the soap pot during the cook. Or PPT is added to a solution made from a small amount of soap dissolved in water. Or, in a few cases, on a freshly cut face of a young bar soap.
Soap is a weird cat, so all this focus on testing the pH of soap with PPT or pH test strips is fraught with problems. First off, soap is a colloid, meaning it is a varying mixture of water droplets and soap particles; it's not a uniform mixture. When you allow soap to absorb outside water, you are in effect altering the structure of this colloid by adding extra water, but that's really the only way you can get PPT to work on a dry soap. The way the water is added can also alter the results of PPT or test strips. If you RUB a droplet of water into the soap, you may find you can actually change the results of the pH test compared with just putting a drop of water on the soap and let it passively lie there for awhile.
PPT will not change color in an aqueous solution until the pH of the solution is 8.2 or above, so water that tests "neutral to PPT" may actually have a pH anywhere from acid (0 up to 7) to neutral (7) to slightly alkaline (from 7 to 8.2).