Er, first, I said "across platforms", since ST2 is available on OS X, Linux and Windows, all of which have specific requirements and UI paradigms to deal with for a preferences window.
Second, you'll get nowhere with devs using blanket statements like "every other OS X app in the world". It's akin to "c'mon, just add a few lines of code and put in this simple feature!" I get the same thing as a web dev, e.g. "why doesn't this site load fast, never break, and look perfect on IE7 like every other website in the world?! Can't be that hard!"
ST2 is not coded in Python (a common misconception). Per Jon: "Sublime Text is written in C++, with Python embedded for the API."
I'm not saying it's impossible, I'm saying it would be a difficult and significant undertaking to add a GUI for prefs. Not only do you have 3 different GUI systems to build it in, you have to organize the incredible myriad of ST2 preferences (or more likely, selectively pick which ones should be in the GUI interface, leaving more advanced prefs to still be edited via text files), design the forms, handle errors in user input (both from the GUI and if the user messes something up when directly editing the text files), adapt to ongoing changes in the program, etc. Another thing I learned from webdesign over the years: forms are one of the most difficult things to design & code. I'm positive if you asked the devs of Alfred or Transmit (both have exquisite pref panels) they'd tell you they spent hundreds of hours on them. And that's for one platform.
Just typing that paragraph made me believe we'll never see a GUI for prefs, haha. I believe it will be up to us to build a third-party plugin for our specific platforms. I'd love to see it happen, even if just for the most basic functions like User Snippets and/or a generic Keyboard Shortcut Editor.