And why is it unsupported?
Tipped off to an officialEthernet adapter I wasn't previously aware of, I figured that Microsoft had finally gotten it right because, after all, no existing Ethernet adapters work on Surface RT. But it turns out the joke is on me, and on all Surface RT users: Even Microsoft's official Surface Ethernet adapter does not work with Surface RT.
People claim in the comments that there are drivers that make it possible, and MS shuts them down.
Thurrott seems to confirm this, and he's not exactly a "hater".
So, why? It's not an ARM problem - there are ARM devices that work with Ethernet. So it's either a deliberate decision by Microsoft, or it's a technical glitch. Since there are third party solution that make it possible, it's most likely not a glitch.
So it's a deliberate decision. Why is it a deliberate decision? What good would it be for Microsoft to shutdown Ethernet on Windows RT? The same drivers work after all in Windows 8 Pro and are built-in! And Microsoft even hunts down third party Ethernet drivers for Windows RT. So they are pulling real effort behind this.
Well, I have presented my theory why they would do this: Microsoft sees Windows RT as the future, and this future must not have Ethernet to make the cloud even more inescapable. More sticks without carrots.