This I feel is a fair complaint, I have seen it many times but I have to admit I am not a visual designer so I do not really understand it. Allow me to enumerate.

rgb is a larger color space than cmyk, that is to say the colors that cmyk can represent are a subset of rgb.

You are doing the work on an rgb monitor. what does having the illusion that you are working in cmyk get you? just use a cmyk color picker

but most damning, industrial printers are not CMYK, they are spot color, that is, they will be filled with essentially random primary colors chosen to best fit the final print. When you do need very fine control over the final color, you don't want a cmyk aware system you want a spot color aware system. And even then, you will only get close, requiring many test prints to validate the final result.