This makes sense but the problem is that the smart list can have thousands and thousands of leads and the size of the attachment could grow very big and may cause the performance issues. Therefore we supported the download link rather.
How system works is that, on the scheduled day, system creates a copy of the smart list (to optimize the performance) and stores in the server, that copy is deleted in 4 days (to optimize the storage).
I'd love this feature. We tried to make some complex API integration and we still can't make it work...a really simple solution for us is to have a script downloading the attachment (.csv from a smart list subscription) of the email and uploading it to a server where we have all kinds of reports from other platforms.
We use this kind of reporting for segmented campaigns so I think we wouldn't have to worry about the size of the attachment. Our current .csv export is less than 500 kb with near 3000 rows and about 15 columns (and with that, we get tons of info thanks to our own reports set-up), if it starts to grow up to 15 Mb I don't see any performance problem.