Why does Henry Winkler appear in all of Adam Sandlers' movies?

Not all, but several. It is common for actors to take small, even miniscule, parts in each others' films when they enjoy working together.

"In 1998, Adam Sandler asked Winkler to play a college football coach, a supporting role in The Waterboy (1998). He would later appear in three other Sandler films, Little Nicky (2000) where he plays himself and is covered in bees, Click (2006, as the main character's father), and You Don't Mess with the Zohan (2008)."

https://en.wikipedia.org/wiki/Henry_Winkler

He is not on the cast list for 'The Longest Yard' or 'Happy Gilmore', among others - Adam Sandler has been in over 30 movies, and it would be tedious to list all of them that do NOT include Henry Winkler in the cast list.

http://www.imdb.com/title/tt0398165/fullcredits#cast