Note: that the CPU continues to operate even when a computer freezes is a part of the design of the computer. As far as the processor is concerned, it's waiting for another instruction but for whatever reason it is unable to receive one: it will simply continue waiting.
An unresponsive computer does not necessarily mean that a system is completely frozen. It could be that a programme is not time sharing properly, has hung, or that there are diagnostic services running to find out what the problem is. The system may also need some time to sort out what problem it is having, and so obviously having the computer say to itself "While I try to figure out what's wrong, I think I'll cut off power to all my components" is less than ideal.
When a modern Microsoft Windows system shows the blue screen of death, it may be set to reboot the computer or power down the moment that it has finished dumping the memory (or it can be set to not dump at all). Normally, it is set to wait.
While we're talking about stupid OS features, however, I must remark on my dislike for the feature in Windows Vista and onwards called Clipping Tool. The features in that could be well integrated into the system's Print Screen keyboard function. Mac OS X does something similar to this. Clipping Tool is great, don't get me wrong: making clean screenshots of entire windows without their surrounding elements is something I use regularly. However, it shouldn't take an application to do this when Mac OS Classic could do it with a keyboard shortcut. This is also one gripe I have about modern Linux distributions, which quite often lack the feature.