If you thread the regulator and plenum with LH threads as you suggested, then you run the risk of the regulator unscrewing itself from the plenum or the plenum unscrewing itself from the end cap as you tighten the end cap on the RH threaded reservoir... That's not good, and you have no way to verify once it's assembled.
With the current way with everything having RH threads everything stays threaded together as you tighten the rear cap.
Having to remove the front cap and gauge to push out a regulator that unscrewed itself from the plenum while removing the end cap is inconvenient, but much better than the scenarios above.
If you snug the plenum and regulator on an edgun tight enough and use good silicone on the o rings that seal against the reservoir ID, they usually stay snug and come out with the rear cap as an assembly.
FYI, if you put a Huma regulator in your edgun they aren't even threaded-- so you have to push them out from the front every time anyways.