But you can. Kind of....
In you camera roll go 'back' (top left) to albums, then hit the '+' button in the top left to create a new album. You name it, then select what photos go in there. The only trouble with this is, the photos aren't moved there. The album just contains a pointer to the original photo. Not sure if this will sync with iPhoto though, I haven't tried it.
I know your frustration. It seems for almost every Apple app, there is a 3rd party one who just do it better. If only we could have a 3rd party photo organiser!
Alex