Thanks Alex, thanks for the reference to my T-Mobile carrier. I looked into it and found the following text in their help:
Anonymous callers
The FCC mandates that mobile carriers allow callers the ability to block their caller ID information and place anonymous calls. T-Mobile is obligated to honor the privacy of the caller in these circumstances. T-Mobile can't block anonymous calls or override the privacy choice of the caller, but you may choose not to accept them. To make an anonymous call yourself, dial *67 before dialing the number you are calling.
For more information about privacy and security, refer to our Privacy Center.
From the description, it would appear that per these regulations, the carrier can't block anonymous calls. That would explain why Apple can't support this rather obvious option.