According to Eric Lippert, this is mostly for philosophical reasons. You should read the whole post, but here's the gist as far as I'm concerned:
I am philosophically opposed to
providing such a method, for two
reasons.
The first reason is that doing so
violates the functional programming
principles that all the other sequence
operators are based upon. Clearly the
sole purpose of a call to this method
is to cause side effects.
The purpose of an expression is to
compute a value, not to cause a side
effect. The purpose of a statement is
to cause a side effect. The call site
of this thing would look an awful lot
like an expression (though,
admittedly, since the method is
void-returning, the expression could
only be used in a “statement
expression” context.)
It does not sit well with me to make
the one and only sequence operator
that is only useful for its side
effects.
The second reason is that doing so
adds zero new representational power
to the language.
