Subaru could only afford to do a single body style since that generation WRX was a pretty serious departure from the Impreza chassis. Everyone else in the market was offering a hot hatch, so Subaru, being Subaru, decided to do things a differently.
I prefer the sedan. It's much less boomy and noisy than the old WRX hatch. I never got much use out of the hatch anyway.
I've moved 5x5 sheets of plywood and 10' 2x4s in my '04 G35 without too much trouble. The back seats don't even fold down, I just stuff everything through the ski hole or tie it on the roof :).
I would probably rather have a hatch if I didn't love this car though, fair point.