I feel the same way. And it's funny how many people think along similar lines and then go straight to their iPhone without a second thought. It's as if because it's always been that way with the iPhone (no external apps) that it makes it ok.
I think one reason is that you use your Mac to create/develop, whereas you use your iPhone to consume (I'm obviously generalizing). You need more flexibility and control with tools that you use to create/develop.
I only have an iPhone because I need to have one for testing and developing. I've always kept my iphone jailbroken for this very reason.
Because limitations imposed by iOS are not limiting me from things that I want to do and benefits outweighs negatives.