I'm guessing that their database schema is set up to only have the moves contained. When the pgn is 'generated' for display the script probably just adds the needed header information and move numbers. Adding annotations and/or variations could potentially balloon the data size of each game. The javascript for the 'gameanalysis' page would also need to be revised to parse the comments/variations.
Judging by the page displays and the featureless forums I would guess that the site owners main objective is simplicity and fast page loads. I agree however that your suggestion would be a nice feature.
If you are interested in displaying your own annotated games on the web I have a few suggestions. You could find a decent free webhost or a reasonably priced (1and1.com is cheap) paid host and put up your annotated games. I have used the following for page generation and they both work well:
http://www.cmpgo.de/chess/pgntojse.html
http://www.mychess.com/
*edit*
Just noticed that the 1and1 'home' package has 10 ftp accounts at $5 a month. If you could get nine other people interested thats six bucks a year per.
http://order.1and1.com/xml/order/HostingOverview