I think that most “subscribers” to your blog don’t need to stay in the dashboard, therefore they are taken to the site. While Admins & Contributors may want to have the dashboard still open.
Since there should be more subscribers than admins it’s good that it is that way. Of course the only ones that would suggest an alternate now are the people working within WordPress and not the subscribers. If they were to change it then all the subscribers would complain, and there are a lot more of them!
Possibility for a future plugin that detects role and dynamically changes the link? [If user is subscriber send to site, else open new]