The problem of the need for reinstalling/setting up everything again can be easily combatted with the Advanced restoration capabilities of Sprite Backup.
In a lot of cases, not even Sprite Backup is needed. Just restore the old backup (it's possible in most cases with a simple registry-based version number hack) and apply a simple registry patch (because the restore restores the old registry) to bring up the registry to be totally compliant with the new ROM.
Of course, these (especially the second one) requires a bit of manual work, especially for the first time when the registry hack is invented (see for example
http://www.firstloox.org//forums/showthread.php?t=3585 on a current, actual example). Then, over-ROM-upgrade restoration becomes a breeze.
Of course, Windows Mobile and ActiveSync could handle all this automatically. But, we all know that, with Windows Mobile, a lot of even essential functionality can only be achieved by third party tools (the above-mentioned Sprite Backup) or manual system hacking (manual hacking and restoration of backup files/differeing registry entries).