I can't tell you for certain as I'm not core dev, but my inferred reasoning for this is so that users can override templates in a modular way without having to edit "core" files.
For example. If I use a thirdparty theme or external one where I can't (shouldn't) edit the templates for whatever reason, I can override those templates without editing the theme directly (thus making upgrades easier) and simply placing one in mysite.
The order of mysite > themes > modules is a sane one to me, if you want to be able to create modular and stand alone code. I've relied on this order of priority many times and has never seemed counter intuitive.
I definitely would not be in favour of changing that order.