For the record, neither Cubase Essentials, nor Cubase Studio 4 come with mp3 encoding installed either. The license for MP3 encoders must be bought by the selling company for every disk sold that includes the encoder.
For instance, building in the licensed mp3 encoder into Sonar would add to the cost of producing Sonar, by the license, as well as incurring administrations costs to implement it, meaning that for every Cakewalk application you owned you would have lots of individual mp3 encoders.
If you had started working with Sonar from Version 1, and you also have, for example, Project5 versions 1 and 2, you would have had 10 encoders, costing about $200 (albeit over 8 years). Cakewalk give you the option of buying one encoder that will cover them all.
MP3 encoding is seen as more of a consumer (rather than a professional) process. Even 24 bit 44.1 khz wavefiles are relatively easy to transport (either in solid state devices or internet), and provide way more accurate recordings. Considering Sonar is a pro application why would you require to encode to a consumer format. Windows Media Audio is free and provides better than mp3 processing and is included in both Cubase and Sonar. Even FLAC compression (lossless) is certainly a preferred technique for compression, should it be required.