I wonder if the option should be there on the media page to choose GD or ImageMagick, rather than relying on a plugin (which I use but its age concerns me).
ImageMagick is included in core WP and is, in fact, the default for WP. If you have it, WP uses it. if you don't, it falls back to GD. If you have neither, we shoot Gonzo out of a cannon... (actually I have no idea what happens after that, probably something smart).
So... I have no idea why you'd not be seeing that as a default unless your server has a setup problem with Imagick (the PECL library that lets PHP talk to ImageMagic).
All exif headers are retained for me.