I don't think I could answer why such limitation exists. After all, Service Desk is only HP's approach to ITIL. Maybe from that perspective keeping a direct relationship between Changes and Services is not that important.
With an entity reference custom field, you would only be able to relate a single Change record per Service.
Hmm.. What do you actually want to achieve? What is the reason that you need to specify a change at a service? A change is related to a service (the service field in the change), so you see at the change which service the change was raised against, and you can look for the changes raised against a specific service. Can you explain in more detail why you need a change field on a service?