Lady Sif is an Asgardian warrior and friend to Thor. Unfortunately she wasn't in Thor: Ragnarok. The tagline to that movie was, "Thor: Ragnarok, we finally made a good one." Lady Sif would have been awesome in Ragnarok, instead she's stuck in the two worst Thor movies. I know what you're thinking. "There are only three Thor movies." Exactly. What other superhero franchise gets two warm-up movies before they make a good one?
The answer is Spiderman. And in that case it was two entire movie series before they got it right. Enough about Spiderman and my crotchety old man opinions though. Jamie Alexander ultimately wasn't in Thor Ragnarok because she was on Agents of S.H.I.E.L.D. at the time. Plus, if she was in Asgard she'd have been killed. We don't want that!