Here's one that I think you'll find compelling: threads. What do you do if you have multiple background threads running when one thread wants to exit the process? You could just exit the thread, but I think that would defeat the point.
Imagine you're using a language, and you find this feature in the docs. Then it lists all the caveats and things you have to give up. Would you still use it, or would you make do without it?
Maybe I haven't convinced you but I hope you can agree it's a major tradeoff. I think that explains why a general purpose language hasn't tried to make it a standard feature.