This is a (relatively) recent addition to tmux, I remember this being an annoyance a while ago, and you can find the discussion on GitHub if you search.
It was added upstream in 2020. Since tmux is often used on servers that don’t upgrade frequently, I still regularly work on some servers without this feature.
In related news, Vim just added XDG support upstream as well. Just waiting for Zsh to follow suit now :)