Well, I mean, they kinda did. They made cousins illegal for wealth distribution. Wealthy families would marry their cousins to keep their earnings. Jews didn't like this. So the petitioned the government to make it illegal, forcing wealthy families to marry outside of their own family, therefore splitting up their empires.
Immediately family members have had laws/rules against procreation since before written history though. So depending on what "level" of incest we are talking about, he has a point.