I expect a large portion of the reasoning is manufacturing costs. It's far easier to generate a cylindrical hole in a mass than it is to create a precision square hole. Broaching is one method of making square holes but to get to 0.25 mm would be amazing with a broach. EDM, electrical discharge machining, can make holes as small as 0.0015 inches (0.038 mm) but this was in an experimental environment, not a production one.

I suppose it's possible to contract with an EDM facility and ask how much to create a rectangular/square hole in an un-drilled nozzle. I'm confident the "premium" aspect of that would come into play.

Another thought, most printers use a 0.40 mm nozzle and have a seventy-five percent recommended limit on layer height. This means that the round nozzle puts out a flattened cylinder, mostly flat. I suspect there will not be as great of an advantage as you suggest by using a square hole in the nozzle.

At first, I thought you were suggesting a square wrench surface in place of the hex. (grin)