There's a lot of history that got us here. One of the outcomes/legacies of this stuff is rent regulation, and the standards of operation there extend into unregulated apartments as well.
With a proper working housing market the landlord might have an incentive to fix (because people just won't rent from your wrecked place if they can get a better place for the same money) - but given the housing shortage in cities like NYC, even a run down shack is better than sleeping in the park.
The reason we heat with full-apartment systems and cool individually is that landlords are required to pay for heating (and hot water) but don't want to pay for cooling.
Two, some steam apartments don't have a unit at all, just a pipe from floor to ceiling. Older tenements feature these (the one I'm living in now has one, for example.) If you want to adjust the temperature with this, your only choices are A/C or the window. These apartments were just built this way, and this was likely the cheapest/only tech available at the time.