Perhaps this is another anomaly that Americans have to put up with from their carriers — not being one I wouldn't know.
Just yesterday I even noticed Android's core SMS app is even nice enough to tell you when the message is overflowing into a second SMS, so you know that you and the recipient will get billed for more than one SMS. Which brings me to another idea:
Perhaps the billing issue is more of a concern as well -- receiving concatenated messages certainly would cost more for (American) users not on unlimited SMS plans, and presumably would cost more for Twitter to send out through their gateway?
At most, they need to shorten the links only for SMS; they don't need to shorten them for the API or for the website (as they've just demonstrated).
Edit: I completely read what you said incorrectly. My response must make no sense.
And when Twitter started out, even fewer of us had them.