What I'm wondering, is whether this is because of the design of the firmware, hardware or both. Back when protected mode was the new hotness, it made sense for the CPU to power on in real mode, for backwards compatibilty. But back-compat w/ DOS is less of a concern today than it was 20 years ago. Is it still required for back-compat with older versions of Windows, since UEFI wasn't commonplace in the WinXP or Win7 days? Does UEFI have to lift the CPU from real-mode to protected mode, or does it leave that to the OS?
Another thing I wonder about, is if it's possible to have the CPU come online directly in protected mode or long mode after POWER_OK has settled and the motherboard releases the reset line. I recall reading various datasheets for tiny specialized controller chips (fan controller, et. al.), wherein by leaving various pins floating, or asserting them high or low with pull-up/down resistors, one set the power-on value of the register(s) which controlled start-up behavior. It'd be cool if you could do that with a modern mobo/CPU. But even if it were, I suspect it would be a mod reserved for those brave enough to take a soldering iron their motherboard. I doubt such is a common enough need that mobo manufacturers are exposing that through jumpers or firmware config.