My guess is that it was merely a design decision based upon the assumption that once a protected mode OS is started, there is no need to go back. Most microprocessors at that time already booted in its most privileged mode and had at least two levels of protection. The 80286 had to boot in real mode to keep compatibility with DOS and I think they thought DOS would reduce itself to just a minimal procedure to boot the main OS.
It seems that Intel engineers didn't realize that DOS was going to live for about ten years after launching the 286, and software engineers along with motherboard manufacturers would figure out a way to switch the CPU back to real mode in order to call DOS services from a protected mode program (who decided that the keyboard controller is a good place to put a register with a bit to reset the CPU and another one to enable CPU addresses beyond 1MB?)
By the time the 80386 was produced, they added the feature to switch the CPU back to real mode, and the dirty trick used with the 80286 -to reset it with a magic number at a certain memory location so the BIOS could read it and jump to some predefined code to resume operation- was not needed any more.
Then, the undocumented LOADALL instruction was spoiled on the USNet, which could allow not only switching from and to real mode, but allow non standard CPU states, such as the so called "unreal" mode, which allowed a real mode DOS program to access memory beyond the 1MB barrier.
This article from the OS/2 museum discuss the use of LOADALL to switch back from protected mode, and how Microsoft used it in HIMEM.SYS to allow fast above-1MB-memory copying without having to leave real mode.
