You can find numerous methods for removing index.php from the EE URLs in the wiki and throughout the forums. EllisLab is using one of these, as it seems. That it is not recommended for “normal” users is mostly based on the fact that you need access to .htaccess and/or other files on your server (not every user has this access), not every server config is compatible with every method and the methods are not fully automated - so “official” support for this feature isn’t easy and out of scope for EllisLab.
(Personal opinion, not affiliated with EllisLab.)
-Markus