It's mainly because of terrain. Between Bengal and Burma there are Himalayan foothills. Hundred of Kilometer long dense forest and high hills made it virtually impossible for to mobilize troops in large group, inespecially in ancient and medieval time.
British Raj is able to conqueror Burma because British Empire is a Maritime Empire, unlike the other Empire in Subcontinent(i.e. Mughal Empire, Gupta Empire, Maurya Empire, etc) which are basically land Empire. British use the sea for troop mobilization and logistic, by which they able to overcome the natural barrier between Bangla(Bengal) and Burma. And also British have far superior technology fromthan Burmese.
Through south-east Asia in never been a part of any south-Asian based empire but the founder of many south-east Asian dynasty have there ancestry back in south Asia. Who either go from Bengal by land or sea, or from south India by mainly sea.