Ummm, well my humble little Canon G11 has a 3 stop ND setting and, whilst I have no idea
how it works (but assume it turns down the sensitivity of the sensor), it just
does work! Here it is in action, together with my ND Fader, in a 3 image blended composite (3 different shutter speeds to maximise detail - avoiding detailess 'silky smooth')
So quite why dSLRs can't have an in-built ND, I've no idea - a grad would be slightly more difficult but within the realms of possibility (after all, it's no different from a software gradient). I guess it's because you wouldn't see the result through the viewfinder but with Live View and EVFs.........