Because it wasn't in ALL_OBJS. Copy the Makefile pattern!
```
Submodule 'src/secp256k1' (https://github.com/ElementsProject/secp256k1-zkp.git) registered for path 'external/libwally-core/src/secp256k1'
Cloning into '/home/runner/work/lightning/lightning/external/libwally-core/src/secp256k1'...
cc tests/plugins/channeld_fakenet.c
In file included from ./bitcoin/script.h:4,
from tests/plugins/channeld_fakenet.c:14:
./bitcoin/signature.h:6:10: fatal error: secp256k1.h: No such file or directory
6 | #include <secp256k1.h>
| ^~~~~~~~~~~~~
compilation terminated.
make: *** [Makefile:301: tests/plugins/channeld_fakenet.o] Error 1
make: *** Waiting for unfinished jobs....
Submodule path 'external/libwally-core/src/secp256k1': checked out
```
Signed-off-by: Rusty Russell <rusty@rustcorp.com.au>