This is currently by design because doing it properly would require a fair bit of work. The main problem is that you can't be logged into two StackId accounts at the same time, but we don't do a good job of showing you which one you're using while you're logged in.
This wasn't my decision, so I'm not entirely sure when the option was taken off of the "add login" page or how exactly that decision came to be, but I assume it's because of the above and the confusion (and issues) trying to do this caused in the past.
A cheap fix could be to add the option back in for users who don't already have a StackId associated with their account. This would, however, introduce inconsistent and non-obvious behaviour.
A not-quite-as-cheap fix could be to add the option back in for users without a StackId credential, but show a greyed out option and/or an explanation to the rest. This buys us consistency, but isn't necessarily helpful for a fairly common use-case - trying to change the email address used to log in.
A yet-more-expensive fix could be to modify StackId to allow email address changes under tightly defined circumstances. This is potentially undesirable since we treat your email as your identity and changing it up could (and likely would) break any other site you're using StackId on for authentication. (General "you" in this case. I don't know off-hand how many people use StackId as an OpenID outside the SE network.)
A full fix would likely be a combination of UI work, StackId changes to support multi-sign-in, etc. The fact that we allow a more or less infinite combination of credentials to be used to sign up makes this further more complicated.
I can't make any promises at the moment, but I will be looking at the Add Login UI soonTM and I'll see if either of the cheap fixes would be "kind of okay". But in the meantime, there's a workaround for changing the email address here as well. If all you want to do is add a StackId to your account, request account recovery and click the "set password" link in the email you receive while logged into your account.