I totally agree!
Unfortunately the security library I'm using (http://securityfilter.sourceforge.net/) doesn't support logout when using BASIC authentication. (At least I haven't managed to get it to work).
(Just for the record: securityfilter is otherwise a lovely piece of software)
Update: The security mechanism has been reimplemented in Subsonic 2.8 (not yet released). I've replaced Securityfilter with Acegi (http://acegisecurity.org), and added a logout option.
I've also replaced the login popup (BASIC authentication) with a form-based login.