In an ideal world connecting to a cellular net wouldn't be more complicated than connecting to a WiFi network, enter a few parameters, and off you go; the device gets authorized as having paid for service by its unique ID. Done.
Unfortunately the reality is different: SIMs can be remotely programmer by carriers (and indirectly by governments) to do all sorts of things consumers have no clue about, like e.g. enabling audio transmissions without any signs of an active phone call, locate people through the network towers, etc.
The ability to go off grid is key to maintain basic civil liberties, and that means a removable SIM, and surely Apple will not make the SIM removable, then the entire reasoning is about more miniaturization.
Further, in an ideal world, everyone would pay the same for the same service. But again, that's not the case. e.g. using an original iPhone plan with an unlocked iPhone4 from overseas was already causing AT&T to adjust my calling plan because they detected an iPhone4, even though not bought through them and not subsidized by them, and even though my original calling plan was not tied to a specific device. I had to threaten with legal action to get my original, cheaper calling plan back. And why are there different prices for the same services depending on the user uses a Blackberry, iPhone, etc?
By having a built-in SIM that needs to go through the AppStore or some other channels, both Apple and the carriers get an extra level of control over what they will or will not sell to you based on the device you own.
e.g. when roaming in Austria I use a SIM and plan designed for the iPad in my iPhone, because it fits my needs better than what I can get for the phone. This only works when the SIM is decoupled hardware which only the user controls into which device he sticks it.
Further, with iOS devices not giving the legitimate users root privileges, there's even less control over what's going on on a computing device that you entrust sensitive information to. It's sad that we have to pray for exploitable security holes in a device to allow for jail breaking an a modicum of control over privacy issues.
Between jail breaking and unlocking users retain some control over their digital life. A built-in SIM will make such things even more difficult.
A side note: the people wondering why carriers want locked phones even though there's a legal contract to stick with the carrier for a fixed period of time, the answer is two words: roaming fees!
To use a phone locked to AT&T in Europe is $1.99/minute, a cheap European pre-paid SIM allows the same call for a few cents. Many iPhone users are frequent business travelers, and the inability to swap SIM cards earns carriers many millions in extra fees each year.
Moral of the story: things that would be great in a world ruled by engineers are horrible choices in a world ruled by business people, politicians and lawyers.
The thing that made the GSM phones such a success is that due to the removable SIM cards the kind of tie down to carriers people had in the old days of mobile phones went away, this increased competition, etc.
To give up that control by handing over the ability to choose what SIM can be in a device would be bad news for consumers.