In addition to the space and heat issue that Anna brought up, the primary reason that you do not see laptops with built-in power supplies is COST!!
The wall transformer costs the mfg less than $2.
The same power supply built into the laptop would cost around $20.
This includes sheilding, and isolation components that are not needed when a wall transformer is used.
That $18 in extra costs can easily translate to several hundred dollars at the retail level.
In addition to the direct cost, the manufacture is faced with other costs:
UL approval for the entire laptop, not just the power supply;
UL inspection audits;
Liability insurance costs for having live 120 volt AC power inside the laptop;
Instead of just changing what transformer ships with the laptop, the manufacture has to build unique versions for each country they plan to sell the laptop in.
While you may be willing to pay the extra cost for a laptop without an external transformer, the market is likely too small to justify the design expense and risks.
Chas