You are right. I want that feature implemented as well. But it has been rumored that Apple intentionally removed that feature from all their OS'es for security reasons. Which makes sense to me, since this is a very basic feature but it's been left over for years now.
Same goes for drag and drop of some files in OS X. Sometimes, when you do a drag and drop, the system FORCES you to copy the file, and not just move it, although that they know that you can delete it from it's original location afterwards. I'm sure they have their reasons... and for those reasons, I don't expect to see the cut command implemented in Leopard.