"If its for the sake of having all modules in the same folder instead of copied in each theme, we could have done this without a loader module." Yes, but it would have been a mess. You would need to manually download the modules, unzip them and place them in the folder. Just doesn't make sense.

"Also, is it against OTS2 to include modules with your theme anyway?" Yes

"What if you have your own module that you haven't submitted to loose-screws?" Well, submit it. Or don't include it. If you DO, it won't be OTS2.

"What if your theme only works with an old version of a certain module?" Then set the theme to use the older version. NLM doesn't grab the latest version, it grabs the version that is specified. For instance:
*NetloadModule popup2-2.0
-or-
*NetLoadModule popup2-2.1.2