I looked at mine and the key can be removed in the off position very easily and also in the on position but it takes a little effort. The key can not be removed from the lights on or high beams on positions.
I have to assume that it was not able to be removed from the on position originally.
I don't know about the newest cars but this was pretty common in the older cars as switches became worn. Most people just don't drive a twenty year old car so they never know. It may not be supposed to come out when the switch is on but after a few years of wear it can happen. In fact with enough wear it will get to the point you don't really NEED a key. Anything you can fit into the slot can activate a really worn ignition switch.