Not to mention that most of the power provided by modern PSUs come from the 12V rails. The 3.3 and 5V rails are almost vestigial at this point, no hardware actually runs directly at those voltages, so removing them would not have any negative effect.

Because it moves complex circuity to an already very complex and expensive PCB, making it even more expensive. A power supply is likely to outlast multiple (re)builds of a desktop computer; a motherboard is likely not - especially not Intel motherboards.