I am approaching 20 accounts on StackExchange sites, and this is becoming a mess. Why not unify all accounts into one? This would increase the number of new users to other communities, as it would reduce the barrier of entry for those with existing accounts.
The barrier you're describing is: click "sign up", choose an OpenID provider, and grant permission. Once. That's not a lot of work. Automatic sign-up on visit, on the other hand, would produce a couple (related) problems:
You would lose the ability to use different OpenID providers for different sites. Maybe you want to separate professional accounts that your coworkers might be looking at from some of the others.
Maybe you don't want a public presence on some sites. We have sites for religion and politics, and there was a failed site for relationships and dating. Do you automatically want to sign up for everything? Even if you do, do you think it's a good idea to force that on other people?
You could argue, I suppose, that clicking "log in" on a site where you don't have an account should automatically create one for you from whatever OpenID you're currently using. But what if you're logged in to, say, both Google and Facebook in the same browser? Should Stack Exchange guess? Or would there need to be a "choose one of these" UI dialogue? At that point that's pretty close to what you have to do via the sign-up link.
My recommendation would be to write a user script if you really want to do this. Building it into Stack Exchange would cost effort, wouldn't save you that much, and would actively interfere with some valid use cases, so I don't think it's likely that they'll do this.
I'd like to add that this is a mess with the new "hot network questions." I click, I upvote because hey that's a good question! and my upvote is ruined and occasionally my signup request looks like suspicious activity because I'm not yet a member of whichever SE happened to have the interesting question.
Frankly it's terrible UX to think that it's not a problem if a user "only" has to sign up twenty times.
Also I now have to update my picture, profile, etc. on 20 different sites. Hope I never want to change my picture! That will be a small project.