Some do. Maemo's MicroB browser shows this when you click on a select menu: http://i.imgur.com/rP6Mz.png - one of the few places interacting with a website is actually easier and faster on a mobile than on a desktop browser. I think Nokia's Symbian devices do this too.

I'd rather my OS (desktop theme) be left to take care of the controls, which at least lends to better consistency than a myriad of different browser and site implementations.