Young Sheldon is told from Sheldon's perspective and, as an atheist adult, he doesn't celebrate Christmas. As such, when recalling his childhood, Sheldon's adult self doesn't feel the need to single out the holiday. The Big Bang Theory hero's atheism is justified not only by his faith in science but also by the story of a predatory church exploiting his mother and ruining her life before his father's death. Young Sheldon season 6 saw Pastor Jeff fire Mary and ban the Cooper family from the church after news of Georgie and Mandy's pregnancy got out, meaning Sheldon has a formative reason to view organized religion as a corrupt, hypocritical institution.
This could explain why Sheldon never mentions Christmas in Young Sheldon. Some episodes could have been set during the holiday season but, since this is Sheldon's version of events and he doesn't put much stock in Christmas, the character wouldn't think to mention this unless it was relevant to the plot. Why Mary returned to the church after Young Sheldon remains unclear, although it is likely that her grief over George Sr's sudden death led her to double down on her piety to find comfort. In any case, what is clear is that the church's exploitation of her put Sheldon off religion, resulting in him having no fond formative memories of family Christmases.