On iOS they don't, that's true. On current iOS devices though, there's a very good reason for that (two, actually). One is that many iOS devices (like A5 devices) don't have the horsepower to do software decoding in many cases, and two is that it's a significant battery drain. That's why transcoding is even a thing, after all - to convert the video into a format that's got a hardware decoder on the client.
If I'm the Plex devs and I'm making an Apple TV app, though, I know that I've got an A8 processor and I don't have to worry about power consumption, so it shouldn't be a problem to include some codecs on the client side so that transcoding isn't as necessary. Of course, it's very possible they just port their iOS app and don't bother doing this.