When you re-import the images into another program/library, they will not be displayed in the correct order and all other information will be lost as well.

Metadata in general is very useful and contains a lot of valuable information like location data, lens, focal length and device information which you have to manually re-integrate into each and every photo.

I mean yes, I could write a quick and dirty Python script for this, but why should I have to do this in the first place?

In my subjective opinion this is malicious as in it only being this way to make it as hard as possible to migrate away. I highly doubt this is the way their servers store the images as it is very inefficient and the images are likely stored in a database instead. This means in order to retrieve a file they have to process each image anyway, so why not follow the universally accepted and well defined standard and include the metadata in each file?