You reduce heat in a heat sensitive area and decrease the size of the console itself by having an external PSU. Decreased heat can mean a cheaper cooling system is required.
If the PSU is hot enough to require cooling you end up with a flow chart I can convert to text in an almost comprehensible fashion, thusly:
1)put the PSU where you already have a cooling system: internally. Run your main fan 5% faster or whatever.
2)make the PSU external, leading to sub-choices
2a)add a second cooling system just for the PSU
or
2b)don't bother and let eventually fry itself
The logic of the matter is,
especially if your PSU is hot enough to worry about its cooling, it doesn't make sense to externalize it. And if it isn't, it still doesn't make sense to externalize it. It goes without saying that any externally attached device needs its own shell, adding further material costs, even if cooling is of no concern.
And who gives a fuck if the 'main' device is 3% smaller; the package you ship always includes the PSU, hence it will be at least as big and at least as heavy and at least as expensive as before. Most likely more on all three counts.
Vertically integrated electronics manufacturers don't do this. There's nothing to gain.
You go external PSU because of either
1)you are just a system integrator and have no internal design and manufacturing capacity to roll your own for less, which makes buying separate off-the-shelf parts your easy way out by default.
Motivator: not heat, not component cost.
2)marketing/middle management absolutely demands that your form factor be exactly three DVD cases stacked on top of each other, and you've completely run out of ideas on how to achieve that.
Motivator: not heat, not component cost.
3)you have a warehouse full of them waiting for a purpose, because you mismanaged a different product line.
Motivator: not heat, not component cost.
Or, a nice selection of factory shots 
