Add your own email address to the BCC field (in the “Show more options” section below the email body and attachments) and you’ll receive a copy of every email that goes out.
Possibly because setting that up would be a bit complex for some users. Not everyone knows how to find the name of their email server, or what exactly to use for login credentials for that server. That’s why they made it easy and only provided two options: their own email system or Gmail. Connecting to Gmail is easy because they provide an API for such things. It’s possible that other popular email clients (Hotmail, Yahoo, etc.) may be added in the future, but IMO it’s not likely that they’ll add the option to connect to a private email server, again because they probably want to keep the setup as simple as possible for the greatest number of users.