I've just had a play with one example. I asked for Cockfosters to Heathrow 1,2,3 Underground. It gave me a convoluted route finishing with HEx. When I went to advanced options there is a set of radio buttons with "Fastest Route" selected. If you change that to "Fewest changes" then it routes you direct via the Picadilly line all the way. That won't always work, especially if you ask for Paddington to Heathrow! As HS1 is only between St Pancras and Stratford within London I would imagine that fewest changes would probably be quite effective at ruling that out as well. Can you give me an example of when it routes you outside the zones?
I have to agree though, it would seem to be a logical option that they should offer.