How is it feasible for Apple or AT&T to send out weekly/monthly updates? It will never happen. It will make the end user's iPhone experience awful, having to install small updates all the time.
How will AT&T block an unlocked iPhone, when the unlocked iPhone isn't on their network? Say it's running T-Mobile? Isn't that the point of unlocking the phone?
Thousands of iPhone users never plug their iPhone's into iTunes, they don't need to, and that's fine. Many are probably still on the firmware that came with their phones. An OTA update would cause mass confusion among these users, especially.
What about if your phone is jailbroken and unlocked, and you are in an emergency where you need your phone. You pull out your phone and you can't use it, can you imagine the lawsuits that would come of that? What about emergencies that don't require 911, like someone in the family is injured/dead, and you don't know about it because your phone was disabled.
How would Apple know that your iPhone is unlocked or jailbroken? They have neither the time nor the resources to do such a thing.
Jailbreaking and unlocking our iPhones is completely legal.
Apple doesn't want to mess with it.