I agree that it doesn't make sense.
The Mac App Store is for apps, not operating systems. If anything, it should be through Software Update, which is more the right place, although I realize it doesn't have a mechanism to accept credit cards.
I was planning on replacing my MBP's hard drive this summer and was going to buy the Lion Box Set to get the newest iLife (and was hoping there would be a new iWork, as well) to install on the new drive. Fresh and clean.
Now, unless Apple gives users a way to burn a disc of the download (which is a bit funky even if they did let you do that, a bit "Windows" like), I suppose I would have to install Snow Leopard on the brand new hard drive, update Snow Leopard to get the Mac App Store, and then buy Lion. Roar! That makes me angry. Plus I wouldn't get to install iLife and iWork at the same time.
I think for a lot of people not having a disc doesn't make sense, but I think for people upgrading hard drives, it particularly does not make sense and is a step backward. If they don't offer an alternative, I think I'll even have to buy a copy of Snow Leopard as they last time I looked, I couldn't find any copies around the house.
Not only that, the Mac App Store is NOT ready for the onslaught of downloads. If you need evidence of the lack of customer support from the Mac App Store, I can post long threads of e-mails I have had with them over account bugs I have experienced. The Mac App Store customer support is horrible. The only support is by e-mail, and the problem is that they simply don't read the e-mails! They send me canned responses that have nothing to do with the issue I wrote in about. I have stopped buying from the Mac App Store because I have had so much trouble updating apps I have bought (it really is buggy for me), and I also don't like that I can't download demos. I have found it a far better experience to download directly from developers who offer demos in some cases and much more reliable updating.