Because it needs to display pretty much any email you receive, the Mail app is capable of displaying most HTML and RTF (Rich Text Format) content. However, the Mail app itself can only format bold, italics, and underline (B, I, U).
As you have noticed, you can get around this to some extent by copying and pasting from other editors, with varying degrees of success. Once you do so, you can even keep editing the pasted text without losing the formatting, usually.
As for why Apple chose this, I'd guess they didn't want Mail's editor to be come overly complicated to use. But since they did eventually ad the basic (B, I, U) options, it is possible they may phase in different abilities over time.
To use what formatting capabilities Mail does have, select the text. The pop-up menu will either show the options, or have an arrow to the right to access those options not show.