Honestly this makes about as much sense as "why isn't there a TV tuner built in so I can watch broadcast channels?"
supposedly the iphones broadcom chip is capable of recieving FM signals, but they have it disabled (perhaps for a great reason, i just dont know).
There is also a clear difference between wanting FM and a TV tuner. Aside from FM's audio quality being far better than a TV tuner's video quality, there is a giant FM market... which is why every car still comes with one (unlike your TV which hasnt come with an antenna in about 15 years).