(SFP has a limit of 7 meters for copper cables, I think it can go higher for active cables, but most people use fiber for longer runs)
If you just wanted to plug into a switch that was like 5 feet away, SFP copper cabling would actually reduce power a fair bit. Not really sure where fiber falls, but as far as copper, the problem is specifically the 10GBase-T leg, and if you include a 10GBase-T leg then you pay that power penalty regardless of whether it's via a native NIC or whether it's a SFP NIC with a module.
I do totally agree it would be a nifty idea though. It actually would bring down power for short connections, and a lot of laptop ethernet connections are "plug me into my desk switch" type use-cases anyway. Meanwhile, if you do want a longer connection, it doesn't limit your options because you can use a module.
But I suppose a lot of that has been subsumed into docks anyway. Thunderbolt 3 is absolutely fine for that hop to your dock. Related discussion but as a weirdo, I would actually rather have a more robust connector with longer distance support than Thunderbolt natively allows - if I could plug a cable and get 10 meters or so, that would solve some use-cases for me. Currently the only option is Optical Thunderbolt cables and everything I've heard is that they are absolutely flaky as hell and usually die after a year or so. I would love if I could use QSFP copper or something.
(my use-case is I want to have an external PCIe enclosure with the adapter for my Vive Wireless so the PC doesn't have to be in the room, but that would involve at least a 10 meter run for me realistically. Being able to run HDMI 2.1 over QSFP would also be neat because I could have my desktop run a 4K120 TV properly without having to have a dedicated HTPC there...)
Anyway back to SFP in laptops - you're right that it's pretty bulky. Even the "box" is big but it's also a very long connector physically, and the tab that protrudes even farther. The other thing that may not be immediately apparent is that it's not rated for all that many plug/unplug cycles. My QSFP cables have a "10 cycles" tag on them. Obviously they don't instantly die after 10 cycles, but still it's not something you are going to plug and plug every day for years. I don't remember if my SFP cables have one but I don't think it's significantly different. The SFP series are not a "consumer" connector, they are for servers that get racked once in a datacenter and then sit for 5 years, maybe have the cables re-organized once or twice.
It might well be something that you could fix with a "micro SFP" connector though. Slightly smaller box, much shorter, try to aim for higher cycle life. I think you would still retain a lot of the electrical benefits of SFP.
It's not very relevant for laptops, but SFP adapters also have an order of magnitude lower latency than base-T adapters. For things like your fileserver, it's preferable to use SFP if possible, that's why I mentioned I liked the Netgear MS510TXM above, 2 SFP links gives you one for your fileserver and one for a fiber link (to another switch perhaps), or you could do two SFP links and bond. There's some nice flexibility there.