A CD player has no interconnect from its internal transport to DAC. Some pre-amps have a power supply built-in and others are separate... while passive's have no power supply. There are plenty of good integrated amp/preamps out there now. There are pros and cons to doing this just like anything else. In the case of the CD player, the manufacturer generally uses an OK-to-poor DAC but, what if I want better? What if I don't like the way my Plinius integrated sounds and I want to try tubes? I can't bypass the pre-amp section's signal path... My point is that hifi geeks like to tweak, customize, etc. The more integrated, the less capabilities there are to play. So, limiting people to one set of components to avoid choosing a good IC isn't a solution to most people.
Also, would you have separate power supplies for everything or just one big one? This would also open the door to cheap electronics... for which there is already a huge market. (see Circuit City, Best Buy, Tweeter, etc.)