I think, as a general rule, "why" questions are ones that can only be answered by Apple. Here, we're more about "how"...
That said, I think it important to recognise that an iPhoto Library is not just a file or even a collection of files. It's an ecosystem of interlinked databases, managing the photos, sharing, edits, books, slideshows, caches and metadata files. It really is a complex beast. This is true of apps like Aperture (which uses the same Library), Final Cut X and third party apps like DevonThink's databases. Bearing that in mind, I wonder why folks would expect it to run on a disk format created by and for an entirely different operating system, with a different system of arranging data on the disk and so on.
As to the "must" versus "should" question: It's your data, so feel free to try it out, but bear in mind the risks as explained to you. iPhoto doesn't "allow" where the Library is put. It has no ability to move a Library. They Finder does that.