Because I may have forgotten to switch on the TX first. I just want to feel safe in case I became careless. I don't want my car run full gear if I forget to engage the gear box.

With so much said and discussed, the original question remained unanswered. Why they didn't make the system shut down in the event of signal loss?

There is no doubt the heli will crash if your tx blow up, but the crash will be far more benign and result in far less damage both to the heli and the surroundings if power is cut off than the motors still run full speed and servos push their hardest.

Power off whenever there is a signal glitch is unnecessary. But I would like a system that cuts power after say 5 sec of signal loss or insignificant signal.

The reason I can think of that such a system not being implemented is the cost involved is too high to justify the failsafe mode that is normally maintained by the good RC habit.