The reason is so that the skybox doesn't go all blurry. I want DOF on all the forground objects, but I dont want the sky to look like its being viewed through a pair of inch thick glasses! Thats pretty weak man, how can an effect like this be impossible in such a high end engine LOL?
What about TRUE depth of field then, where the focus changes depending on what your looking at? That cant be a simple "after effect" plastered ontop of the screen like a sheet of paper can it? Theres plenty of games with DOF, but still, the sky isn't blurry, such as Jericho, Crysis, Duke Nukem Forever, Red Dead Redemption, Deus Ex 3 to name a few. The funny thing is, one of those games was made with UE3. So I dont see how this cant be possible, if its already been done.
Think of it like this, if you were to do that in a rendered video, you'd have to render the background separately and then render the other elements, then you would render the DOF effect and combine the two, that means doing a completely different render pass and it would take a lot of resources.