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As posted above Legion Go does, Onexplayer 2 also did, not sure if any other Onexplayer handhelds have had them.

Cost is one reason, integrated wired controller will save money compared to having two detachable wireless controllers with their own batteries etc. But mainly I think it's because the demand for that feature isn't that high. I think most people would prefer to just play with a standard gamepad they likely already have then use detached controllers for docked play.