The biggest problem with software (on OS side) is than you can't use your custom layout in BIOS, LiveCDs or when you need to type password if your hardware is encrypted.

Another problem is games. I use dvorak and all games use qwerty bindings so you need either to remap keys for each game or start game with QWERTY layout. If you forgot to start it with qwerty you need to restart the game, which is was really frustrating for me. It's even more problematical with online games like League of legends and etc.

I see no problem for this feature to be present on even cheapest keyboards. I picked ergodox just for an examle.