Actually, iPhone, Android, and Windows Phones all have the physical FM Transmitter and Receiver inside. Currently, Windows Phone is the only one that has programmed the OS to take advantage of the receiver, and allow you to receive FM signals. There is currently no API for accessing the transmitter, however.
The FM Transmitter/Receiver is built-in to the chip system, so is integrated in all the smart phones, but it would take changes to the kernel of the OS for Android and iPhone to be able to use them. Android and iPhone don't think it's necessary, because they want people to stream the music from the Internet and run up data charges, which is probably one reason why carriers tend to steer people away from Windows Phone. Well, that, plus being able to download maps on WiFi so you don't have to use data when using the GPS maps.
As far as FM Transmission goes, don't expect it ever to be implemented, period. Even new home stereos are equipped with Aux in and Bluetooth. Bluetooth gives a better quality transmission without all the static and interference you get with the FM.
Just go with it. Don't have much of a choice anyway.