I don't think it's a matter of whether or not people do or do not understand that OS X and Windows are definitely not one and the same. Rather, I believe it has to do with the fact that Windows' has such a large market share. They have a large number of developers on board simply due to the fact that Windows applications pay more than Mac (simply due to the size of the base market). While the quality of applications on the Mac tends to be, in a majority of cases, far superior to those on Windows, the ratio in a quantity perspective strays from suit. Because of this, a style of application that may have 4-5 different versions in an x86 format, may not have any equal comparison on a Mac platform. I don't have the brain power right now to list off examples, but I will give one: a universal Web Cam Application. By the term "universal", please understand that I do NOT mean Universal Binary. Rather, I mean universal in the sense that it works well across multiple platforms. Sure, web cams work great for me if I have buddies who also have a Mac, and iChat AV, but well... I have 2 friends on my buddy list who qualify for that classification.
Anyway, what Avalon is saying is indeed true. The two OSes are exactly that--two OSes. They're built on different platforms, and inherantly support a completely different set of assembly code. They were both started long enough ago with the aspiration of being the "norm". Unfortunately (or maybe fortunately, as I think this characterized what Apple has become today, along w/ it's community) Microsoft controls the market share in this OS sense. With it, .exe has become the norm, and I'd say 90% of Windows users would think you were making up an extension if you were to mention the .dmg format.
On the bright side (or actually, THE DARK SIDE!), Apple is beginning to integrate Windows into it's own OS (through the introduction of the official Apple release, Boot Camp, and Parallels' Windows Virtualization software). With this, we now have the option of either running Windows straight up, or running Windows in a window (oooh pun!) inside of OS X. Both ways give you .exe support, however one gives you graphics support as well (Boot Camp) while the other allows you to run OS X apps at the same time (Parallels). Unfortunately, this only runs on the Intel-Macs (understandably so as these are the only Mac machines that have a processor that can simply process the instructions), and therefore leaves out a good portion of the Mac community.
So I guess to sum up: Most of the responses here are sufficient. Plain and simple the two OSes run on two entirely different platforms. OS X is built off of a UNIX base, while Windows is well, Windows. However, things are moving in the right direction, in the sense that eventually it won't matter whether or not an application is only built for Windows. OS X will run it anyway, as long as you have an Intel-based Mac.