Neither does RAM, there's cases where it gets soldered on. They put GPU's right inside the CPU. Why not put the OS storage there too? I'd imagine there's speed & latency benefits to be had. OEM's could actually REDUCE inventory. One baseline PC to rule them all. You're going to throw at LEAST 128GB in there anyways?
I'm not arguing that enthusiast mainboards come with soldered on SSD's, I'm just saying I think there's something there to be had with the economics, speed, latency, etc.
Why did Sony hardwire the PS5 SSD?
Why Sony hardwired the PS5 SSD is an
excellent question. At least on the surface, there are many arguments against it. My guess: Likely because they went for an entirely bespoke solution with more channels than would fit on a standard m.2 drive (12 channels rather than 8 on high-end m.2 drives), requiring them to design their own larger PCB anyhow. Thus this design process entirely swallows up the extra costs of integrating the drive - the costs were already a given, long before a form factor was decided on. Their use of a bespoke controller further underscores this - they had to take on this cost no matter what, so integrating it saved them the few cents that an m.2 connector costs, and saved them making two PCBs (as long as there was space on the motherboard). There's no volume savings to be had if you're buying a part that can only be used in your specific product, after all, so with entirely bespoke solutions this logic goes away - but they are also really expensive. It's still another point of failure for the motherboard, but I guess they judged the chance of outright SSD failures to be low enough to not matter much. It still removes their opportunity for harvesting and refurbishing SSDs off RMA'd motherboards though. (They could technically be desoldered, but that is essentially never done.)
As for RAM: can you show me a single system that isn't extremely space-constrained (i.e. wouldn't fit SODIMMs without compromising on something crucial, like battery or cooling) that has soldered-on RAM? And again: soldering on RAM to a motherboard is
much simpler than creating a fully integrated on-PCB SSD. There are BGA single-package SSDs that are used in some tablets and
really tiny PCs. But those are also quite low performance. Beyond that, RAM is much easier to add directly to a PCB than an SSD would be. An OEM could no doubt just buy a reference PCB design from, say, Phison and integrate it into their motherboard designs, but that's still
far more complex than just wiring up an m.2 port, and it requires PCB space that is often not available on current cramped motherboards.
As for integrating OS storage on-die in a CPU - sure, that would be amazing in terms of latency, but it would
massively increase die sizes, and thus balloon CPU costs. You'd also still need a heap of NAND in there to achieve decent parallelism and thus overall performance - a single die, even coupled directly to the CPU with near zero latency, would be terribly slow. NAND is also generally produced on different nodes than logic, and require different optimizations and production techniques. A monolithic die containing both a lot of high-performance logic and a decent amount of NAND (128GB or more) would be
immensely complex to manufacture, yields would likely be terrible, there's a high chance the CPU/GPU would perform worse than if it was made on a bespoke logic-only process.
An MCM solution would be better and easier, but leaves the question of fitting it within a reasonable package size - for example, no current BGA SSD could fit in the space used by one CCX in a Zen 2/3 CPU, though of course an unpackaged version would be smaller - and if there aren't more valuable things that could be added in for the same cost, such as more cache. With upcoming 3D stacking tech it's likely we'll see MCM CPUs with active interposer layers consisting of lots of cache, and they could feasibly also add NAND there, though there is still the question of whether this would be worth the cost (interposers are typically made on cheap, old nodes (45-65nm), while current NAND is made on flash-optimized 10-12nm nodes). There's also the question of whether a NAND-optimized node is suited for the things needed in an active interposer such as TSVs. And there's still the fact that an SSD (unlike RAM) needs multiple types of components (well, RAM needs RAM + power circuitry): the controller, NAND, DRAM (if you want good performance) and power circuitry. That means it isn't as simple as just sticking a few more chips onto your PCB or package. For CPU integrations the same is somewhat true for RAM due to density/capacity (you wouldn't be able to fit the 8 DRAM chips found on most DIMMs into a CPU package either), but there you have other solutions like HBM which stacks these on top of each other for higher density. No such solution exists for flash, and it would likely be prohibitively expensive if someone were to make it.
So again, there's very little reason for integrating SSDs onto motherboards (or into CPUs), and for the few extremely space constrained cases where it does matter, most OEMs are happy to accept the compromises of current BGA offerings. But there's no reason even low-end motherboards would integrate this - at a significant added cost - rather than just stick an m.2 socket on there and either leave it to the builder to fill, or if they are the system builder, stick whatever SSD they want for the relevant system configuration in there.