I certainly can't speak for Intel, but I imagine that it is the way it is because it's much easier to write a library than a compiler. Adding a 'pfor' would also be a non-standard language feature.
Microsoft is working on a Parallel FX library for .NET (see: http://pietschsoft.com/Blog/Post.aspx?PostID=1399)
In c# it looks something like this (it uses an anonymous delegate).
Parallel.For(0, 100, delegate(int i) {
a[i] = a[i] * a[i];
});
The common use of parallel languages is still very much in development. In a decade I suspect there will be parallel features added to many common languages.