We did. There was a lot of fretting over Monte Casino before the decision was finally made to attack it. Kyoto was famously left untouched because of its heritage. And famous cathedral in Cologne was untouched by USAAF bombs because the crew were sternly lectured before each mission over Cologne to try mightily to avoid it.
The Cologne Cathedral untouched by Allied bombing. You can see how they managed to avoid it while still bombing areas just blocks away.