We like to stick to things we are good at, and also avoid bloat in general.
Custom taxonomies are not very widely used by WP sites – other than those in plugins. And in fact, there is pretty good support for theme in the Weaver Show Posts plugin for taxonomies created by other plugins.
Support for custom taxonomies and custom post types in general is deeply embedded into the WordPress core, and are most often used by specialized plugins (such as our own Weaver Show Sliders plugin). There are a few plugins that allow you to build your own custom post types / taxonomies, and they’ve been around a long time. There is no reason in particular not to rely on theme.
We’ve found it is better to rely on a plugin that is specialized for a fairly uncommon task than add bloat to our themes. This really is the WP way of doing things.