There is no good reason to make a HDD that plugs directly into PCIe, the drive is too slow to really utilize it (makes more sense to use a SATA card plugged into a PCIe slot and attach multiple drives to utilize the bandwidth available on the PCIe interface) and power, size/weight, and cooling issues make it a less than ideal option. SSD's on the other hand are fast enough to saturate a SATA1 and probably a SATA2 interface. They are also small enough (and no moving parts, clearing mounting/stability issues) and power requirements are such that they can be fed off the pcie bus directly, leaving SATA connections for HDDs, optical drives, etc.
I'm not saying its the best idea in the world or that I'd buy one, but there is some sense to it.
And we're off topic.
How to make wlape3 stop using his HDD so much despite the programs being on the SSD (and possibly his OS, as he did report improved OS boot times, suggesting it is located on the SSD too)?