I prefer the way it is on Yamaha too. Maybe it's a pity it's not selectable for those who want it.
It's my fingers and brain that do the playing (with feedback from ears!) and they relate to the chord patterns that evolve around the physical keyboard, not what the key "really" is. If I play in a favored key of F it doesn't help me to know if it's really say A- & could be distracting from a chording point of view if I took notice of it.

If I want to know where I "really" am it displays the amount of +/- transpose at the top of the screen anyway.

John