For what it's worth, this is really a security issue, not just a matter of convenience or completeness.
Say for example I go with TrustworthyOpenIdProvider.com for all my OpenID needs for the past 5 years, and then it turns out that they're actually a band of no-good nasty dangerous criminals who set up the site as a front to do evil.
Well then, I'd want to immediately disassociate all my accounts with this nefarious organization. Of course, you could say that the solution is to use an OpenID delegate so that you never have to change your stated provider. But that just adds a layer of indirection -- it doesn't solve the underlying problem. What if, for example, the site where I host my delegation is the one that is taken over by bandits?
The thing is that since the login system trusts the listed OpenID provider unconditionally. The ability to remove your OpenID provider has the very same security implications as the ability to change your password on traditional sites.
You wouldn't say to a user who wanted to change his password that he should have just used a better password to begin with. I would have expected this feature to be there. In fact, I was so certain that it would have been implemented that I actually had to go try it out myself just to make sure before writing this response.
Would a site this tech-savvy really have forgotten the feature to allow you to change your password? Certainly you can't argue that it's unnecessary.