The "must be" is within GMD as it is, because GMD only handles that.
And, of course, because the plane in the example, is a surface that is located to match an external separate object. A pump flange to mate to a manifold, with another flange in some other angle and location to a sump housing, perhaps. Those things would not change as the pump evolves, they are external references so you would want them to be separate from the model itself. Planes, because in the example, the flange mating surfaces presumably ARE planar. I suppose they could mate to cylindrical surfaces, or something arbitrary.
For cylindrical objects, etc. there is the option of extruding to the surface. But, for instance, extruding a shape in a "quadrant", from one cylinder to another concentric one is not supported, as far as I know. So extruding a tapering star-shaped spoke from a the outside surface of a hub to the inside surface of a pulley rim is not supported directly, although there are ways to do it.
And, yes, that could be a nice feature if it could be done directly... You would have to define the shape and taper, presumably the shape on at least one plane and then indicate the ending surfaces and the taper.
Given that GMD often has problems with a basic fillet, I would not want to ask too much just yet. They need to upgrade to the latest ACIS.
As for a loft as a surface, I suspect there is a basic problem with that. Lofts are not quite defined surfaces, they are probably "mathematical resultant" surfaces, and I don't think they necessarily have the exact same shape every time they are regenerated, even though the "rules" one supplies for generating them have not changed. There are probably rounding errors that make it hard to know exactly where the surface is. That would account for the list of things that can NOT be done with lofts, but CAN be done with simple shaped solids.
GMD is fussy about the slightest error, something down in the 6th decimal place will cause a mate to fail, even though for all practical physical purposes the surfaces are in contact. So changes in the loft due to rounding or other "random number issues" could mess it up badly.