Andy mentions some of the benefits for later upgrade in the field, and these are good points, but there's more to it than that. The bootloader doesn't just need to boot the primary OS, but also the "charging mode", which is itself an embedded Linux kernel. The bootloader needs to bring up the hardware to be a USB endpoint and to talk the fastboot protocol, so that it can receive and flash new recovery and system images. It also has to perform signature validation on those images, using a quite complicated block-based scheme so validation doesn't slow down boot time.
So what? Why does any of this functionality need upgradeability? Because it's complex enough to contain bugs. The original XBox bootloader was 512 bytes long and contained two critical security errors, one of which made it possible to run unsigned code on consumer devices. It wasn't possible to update it in the field. Right away, their main security and anti-piracy mechanism became worthless. Phone manufacturers do not want to have those bugs. They make the bootloader updateable so that the device can be upgraded in the field, and so that it's easier to test and develop the bootloader against the real hardware. It's much harder to develop and test code that will be baked into a ROM - and that extra complexity means there would be more bugs and that phone development would be slower, missing the important launch deadlines.
Having an upgradeable bootloader is only a problem if you try to flash firmware to the phone and screw up. This simply isn't a problem for almost all of the phone market. It's only the crazy hobbyists who brick their phones this way. Worse yet, moving this complex bootloader into ROM wouldn't prevent bricking. There are still many ways a broken firmware can damage the device: by overheating it, by uploading a broken radio firmware, by blowing fuses in the secure element, &c.
So overall, there's a huge cost to putting more complex software somewhere that's hard to test and debug, and can't be patched to add functionality or fix bugs. There's no advantage at all for almost all users, and even those users who insist on shooting themselves in the foot would still have other ways to do that.