Tar doesn't use any sort of index like zip does, so to extract the specified file the server side would need to parse through possibly the entire file just to see if the requested file is there, and then start streaming it. Requests for files that aren't in the tar archive would be prohibitively expensive.
There are definitely ways to do it without those problems, though. They just wouldn't be quite as simple as the approach done for supporting zip.
I haven't used hg enough to have an opinion on it, despite several attempts... Problem is I learn bottom up, and I just haven't been able to "think in mercurial" the way I can "think in git".
I find it interesting that what git calls a commit is actually a revision (or checkpoint, snapshot, point-in-time) and what mercurial calls a revision is actually a commit (or patch, delta, changeset).
I think a lot of people think in terms of patches/changesets and I suspect (still haven't gotten far enough to confirm) hg is a toolbox for managing them in a similar way to how git is a toolbox for manipulating its snapshot based DAG.
There are definitely ways to do it without those problems, though. They just wouldn't be quite as simple as the approach done for supporting zip.