Hi,
It's done like that because often you need to configure shipping methods using the "minimum price" / "maximum price" settings of the shipping methods so that different shipping methods are available to the customer based on the amount of his order. And in such case, you usually want to take into account the coupon added to the cart. And thus, for that to happen, you need to add the coupon to the cart before you load the shipping methods.
So it's not crazy at all to have it work the way it does now. It's just not like you want it for your particular case, which I understand too.
So no, it can't be done like you're proposing, or we wouldn't be able to properly keep supporting the scenario I talked about above. It can only be done as an extra option to the coupon system, like I explained in my previous message.
I've added your feature request of that extra option to our todo list.