Bitt,
Sadly, the power supply outside the device issue has much more to do with power regulations than engineers. If you had any idea how much crap you have to go through to get a device CE, CSA, UL, AU/NZ certified, you'd know why there are external power supplies. Getting these certs not only takes effort, it can take time, LOTS of it. Months if you company is too small to have a self-certifying lab. It can also cost tens of thousands of dollars. Essentially if you're making a device that uses AC power, you have to submit & test every device in every regulatory market. By using outside power supplies you just get the supply and go, as the supply manufacturer already has the certifications needed. Devices using power <42V DC (the low-voltage directive) do not need to go through this rigamoarole, so all your electronics will use these external power supplies until the day that a)regulations change or (more likely) b)hell freezes.

-Zeke