Given the premise:
It may be a case of convenience triumphing over performance. If you're programming at Facebook levels of uber-performance then you might think about every clock cycle but the simple truth is that the majority of applications don't need this attention and benefit from efficiencies in code maintenance and dev time (100k contractor vs. another $erver).
That said, there's a case for outsourcing as much of the query processing from the DB box in very high scale systems, else the DB is the bottle neck and you need to shard or re-architect down the line. Costly.
I think its fair to say that LINQ will scale better/easier both in terms of servers and from many core in that your LINQ codebase will get m-core for 'free' as soon as MS release C# 4.0.
I do see your point in asking and as a non-ASP.NET dev just beginning a www project for the first time, I can't see the point of 80% of ASP.NET (themes, controls etc.) - it seems I need to learn more and code more than the HTML itself! -- again, I'm sure there's an good reason for it all.
--- I haven't got the 50 pts to comment on the post I want to so I'm doing it here ---
David B suggests that writing some SQL is all there is to getting the most out of SQL Server and that using query hints is the steering mechanism. The same task can be achieved in many different ways in SQL and many with 1000s of times the performance gain. I suggest reading Inside T-SQL Querying (Itzik Ben Gan). Over and over, Itzik shows how to rethink the query and use new commands to shrink the logical reads sometimes from thousands into less than ten.