Sorting by size would have to be a feature of the particular message app. I've never seen it in any app I've used. MMS generally have a size limit anyway, but my rule of thumb would be that any containing videos will almost certainly be larger than any others, and it will be MMS rather than SMS that are using the space (I barely use MMS, and my most recent SMS/MMS backup of > 10k messages is 11MB, so 5GB is either 4-5 million SMS or else it's MMS that are the culprits - and a lot of them even so).
I'm not privy to the reasons behind the choices, but privacy is probably one consideration: you don't want every app to be able to read your messages, and data stored on microSD are not secure (most microSD cards use fat32 filesystems, which don't even support access control lists). Actually come to think of it fat32 has a 4GB file size limit, so a 5GB message database would be a problem too - the internal storage, which uses the ext4 filesystem, is definitely better for storing large databases. It's also worth considering that microSD cards are a lot less reliable than the internal storage and wear out faster, so while they are fine for media (written once, read occasionally) they are not a good choice for apps' internal databases or caches (frequently, even constantly, updated, so write cycles). Actually if you have anything important on a microSD card, make sure you have a backup somewhere else, because those things can and do fail suddenly.