All of Windows Phone 7/7.5 devices had FM radio. It was part of the WP7 standard, it had to be there. Now With Windows Phone 8, on almost every model (cant confirm every but, most I have seen) have the hardware for a FM radio but, no software to run it. I know for sure the chipset is in the HTC 8X and the L920.
The rumor is, from a few sites a few months ago, was that Microsoft was going to add it but, didn't have time to get it done before release.
Is it possable it could come down on a software update ? Yes, maybe 8.1 will come with FM radip support but, depending on carrier, I would not 100% count on it,
Baseball season starts soon, and I used my WP7 device to listen to games all the time, Now my only option is payibg MLB something like $50 for the season to get the games. That is BS, Microsoft should pay for that because of their lack of support.