Because the data plan isn't metered. Tethering will cost them capacity they aren't billing to anyone. Sort of how like you can get in trouble for using a residential cable modem in a business--consumers get a price break and power users pay more.
> Connecting your phone to your computer as a modem is a standard feature for all other phones.
Not totally true, the iPhone is just now getting this in the upcoming 3.0 release for example. Many times tethering requires a more expensive data plan with the carrier and that may turn out to be the case with both Android and iPhone.