I dunno, magical girls always seemed like a specifically "modern" thing if that makes sense?  Since when you think about it, at it's most basic level it's kind of just a bright and cheerful take on urban fantasy.  Placing it in a historical setting feels like it would change it from urban fantasy to just straight up fantasy, if that makes sense.

...I'm choked up and delirious with a cold right now so if that's a bit hard to follow that's why. ^^;