I’ve often wondered the same thing for two reasons:
1) The theme options page has applications other than just Theme Options. For example, if I wanted to use it as a place for the admin to enter, say, default blurbs of content for the front page. Granted that may not be what you intended the plugin for but I suspect it’s pretty commonly used for such things. These things aren’t really options related to the theme (although they kind of are). I would go so far as to say it would be nice to be able to have multiple options pages so some items can remain under Appearance and other items can appear elsewhere.
2) I’ve done a few installations for clients where the backend was locked down pretty tightly and the users needed a very simple interface. In those situations, I had to hack the Options Framework plugin so it would display at the root of the menu and have a name like “My Settings”. Of course, I’m not longer able to do automatic updates without reimplementing my changes and I’d really like to be able to do auto updates.
Thanks for a great plugin!