The problem about this is that in most cases, you are just looking for a sound for your song, for example, a sequence. You don't expect the sequence preset you load to set its specific tempo, but you want it synchronized with the global tempo.
If the BPM was saved into presets, what would happen when you load many presets, each with a different BPM, in a multi?
You can already set the sequencer so it is not synchronized to the global tempo: just use the "sync" option in the right panel, then change the "rate" parameter. I admit that the arpeggiator does not have such a feature. It would be interesting to add it, like on the sequencer.
What do you think about it?