It's a very intentional language limitation, much as semantic whitespace is an intentional limitation.

And there is actually a language difference. A for loop is a statement. A lambda is an expression. Python doesn't let you put statements into expressions.

I've sometimes wondered whether code would be universally clearer if all you could do in a loop is have a one-liner or call another function/method (mainly when looking at my own code within loops and thinking WTF!!!).

Would probably cause issues when teaching programming though. It would be interesting to have a compiler switch that enforced this...

  foreach ( $item in $list )
  {
    if ( 1 == some_function( $item ) )
    {
      continue;
    }
    else
    if ( 2 == some_function( $item ) )
    {
      break;
    }
    else
    {
      another_function( $item );
    }
  }

I will mention a core aspect of my argument, to add to your point.

When you make a named function and then use it separately somewhere else, there is a loss of locality. The logic is now further from its point of use. This is a cost, and sometimes it is an unreasonable one.