Yep - you got it. Having run a successful blog with WP for some years, I liked the idea of being able to access a lot more features (esp with templates/CSS etc) by self hosting it. Plus I just felt it might give me a little bit more control.
And like you, I thought it had to just be a simple configuration switch somewhere, so I (stupidly) went and paid for additional hosting space/bandwidth to ensure no problems & only then discovered this dire problem, but by the time I eventually got the answer I'd wasted so much time on it, I ended up out a lot of money for nothing. If I'd not had many visitors etc I'd not have minded and would have maybe switched to self hosting anyway, but as I said, for me the stats were too important to lose overall.
Ironically, in some small way, perhaps it's for the best for me, as at least in the interim while self hosting and waiting to sort out the issue (basically running the same blog on 2 sites which was a bit of a headache!), I was able to see that apart from the template issues, WP actually provides a lot of other things that I found hard to to replicate easily too (can't remember all of them but know there were quite a few), so given its free, I think I prefer them to swallow up the bandwidth for me and let me drop my server plan right back down to a nice minimal one I can better manage :).
But it would be nice if they could somehow find a way to provide people with the option at least & suspect if enough people annoy them about it, some day they will.