It takes some additional software in any device to adequately handle removable devices. Generally, DVR software is written with 'permanent' devices (internal hard drives) in mind; ones that don't get added and removed.
A DVR maker could make a 'quick n dirty' modification to the software to enable accessing an external drive, but what happens when the software puts all sorts of files on the external drive that it expects to be there and suddenly they are not because the external drive was disconnected? Would users be willing to 'reset to factory settings/wipe all programs' just because an external hard drive was removed and the box became confused?