Well as with any feature request there are always the logistical and technical issues that can come up.
In this case would the synth have to "host" the FX plugin? If the synth is hosting then issues of stability could come in to play if the FX plugin is a bit wonky etc. I can see additional support requests "XYZ FX crashes ABC Synth" and so on and of course the synth developer doesn't have access to the FX plugin's code.
How would the I/O routing work? How would you save a preset? Would this be a task better left to the DAW although you wouldn't be able to insert the FX into a specific place in the synth's architecture (such as Pre or Post filter etc.)?
I'm not opposed to the feature but it seems to me it could be hard (or impossible) and/or time consuming to implement. But I don't write code so only those who do would know what might be involved.
Of the dozens of synth plugins I own I can't think of a single one than has an FX loop and there is probably a good technical reason for that.