Yep I most certainly noticed it. Only mono audio.
I had hoped that I could just go into the radio app menu and select FM Stereo but alas as you've found - the option is not there.
I'm assuming it's a hardware issue in that the FM radio decoder chip (or part of the chip that may have a multi-function within the handset) does not have the 19 KHz pilot tone decoder and required stereo demultiplexer / demodulator. The phone obviously has a stereo headphone amplifier. Maybe to keep the phone as sleek as possible - they decided to ditch the FM stereo function.
I agree however, that it's disappointing.
Almost as annoying as no stereo, is when you record the radio using the FM Radio App, the volume is set and you cannot adjust it! That is - if the audio coming out of the earphones is too loud for your ears - TOO BAD!
Unlike the rest of the phone, the FM radio functionality is cheap 'n' nasty!