Xpand: yes it is a bit strange in Blender (coming from a Max background). The thing to remember is the Blender Game Engine plays nice with stuff made in Blender (including separating meshes) that would screw up in other 3D engines.

This is to say Blender won't get this feature in the future.

Another good tutorial (for Blender):

http://www.katsbits.com/tutorials/bl...-smoothing.php