It doesn't need to, but that is the intended design.
Amazon RDS instances are a good example of an exception to this normal design. Maybe we should file a feature request with Amazon to support Prometheus metrics. natively. :-)
Unfortunately, the only current method supported is to run several exporters on different ports.
It would be possible to adapt the mysqld_exporter code to make it into a proxy, but this is not something I have the spare time to support.
We recently refactored the mysqld_exporter's collector code to make it easier to use the collectors as a library to create customized exporters if you're interested in making one.