actually, edude03 is correct, in theory.
if they are installing custom processors already, it is not hard in theory to include the BIOS on the chip itself...it could be loaded in the internal cache of the processor. what this does is require a larger cache, so it will still act like a normal cache, but will allow anything BIOS related to be almost instantaneous since a BIOS load is already pretty quick, but in the first level of cache would allow it to be very quick.
the problem with this however, would be any sort of BIOS update, surely MS didn't get it right on the first try, and there will and probably already have been BIOS updates. it would be nearly impossible to update a BIOS on the processor by downloading an update...installing...and continuting like nothing happened. Reason is, the BIOS would have to be in a protected section of the cache that doesn't allow righting over...hense less hacking potential. in theory, MS could send a signal in saying, "hey we're MS, allow us to rewrite", but it would still almost certainly require a reboot, and even then just creates more potential for screw ups.
To sum up, it probably isn't on the processor simply because it could create problems on the mass production side of things requiring updates, however, it certainly good be the case if they really wanted to and isn't all that more expensive, nor does it make "zero sense" as Mr Daemon says.