It may be hard to believe, but it's true.
It's also the default in Excel, although Excel does have an override function to allow this.
In either case, I think it stems from the fact that in most printed formats, you have no idea of the underlying function behind any cell, so you can't easily tell what it's referencing anyway. How would you know that a cell on the printed spreadsheet references E66? You can't click on it to see.
That said, there are two approaches (hacks?) that I can think of that may get you what you want.
The first is to add an additional Header Row and Column to your table, and set this to the same as the Row and Column labels:

This will have the side-effect of shifting all your data, but that may not be a problem for you.
The second approach takes advantage of Numbers' table-centric approach:

This is actually three separate tables. The main data table is one, but positioned above that is a separate 1-row table with the labels A, B, C, D, etc. aligned with the main table.
To the left side is another table with one column with the values ROW() to simply fill out the row numbers. This is aligned with the side of the main table.
The advantage of this approach is that it doesn't impact the main table references.