Because you can't.
That's right: unless you want to use D-VHS, there's no convenient way to record full-resolution HDTV onto removable media. Sure, you can fill your HD-DVR with beautiful high-def shows, but unless you're willing to spend on one of the unproven dueling next-gen video formats (Blu-ray or HD-DVD), they're stuck on the hard drive.
For now, the DVR is king.
A high-def DVR can do everything a standard-def unit can, including schedule recordings of every episode of a show, search by director or keyword, pause and rewind live TV, and so on. The main difference? With HD, the hard disk fills up a lot faster.
Downconversion is looking up.
If your HD DVR is full of shows and you want to archive a few, you can also record downconverted HD to DVD or even VHS--we highly recommend the former. Downconverted high-def can still look very good, and as a bonus, it's already wide-screen.