Yep, this again... I think the thing most people don't understand is that native exports could actually make all of these problems worse. It would also involve such a colossal amount of work that it risks ruining the entire company. We've only come this far because web technology allows us to re-use virtually all our code across every platform.
To just really quickly run through some of your points:
Custom loading screens: loader layouts already let you show a layout as the loading screen, allowing for completely custom display. (Native engine is irrelevant here)
Orientation: it's not clear why this is necessary? (Native engine makes no difference to this)
Multiplayer: networking is a super complicated area and is basically an expert level feature. I was quite uneasy implementing it in the first place because of this - it's a huge jump to go from non-programming blocks to things like lag compensation in a real-time online multiplayer game. Even though Construct takes care of loads of details for you, you still have to deal with some fundamental complications like synchronization. I'm not sure what we could do to fundamentally fix this. (Native engine makes no difference to this)
Monetisation: I know this is important, but it's a huge amount of work and requires constant maintenance to cover things like ads and IAP, and a regular source of awful bugs that are really, really hard to fix. We're a small team with limited resources. If we added any more services, I can imagine us quickly spending 100% of our time just maintaining them and dealing with all the problems. So our approach is to cover some basic options and leave other services - of which there are dozens and dozens - to third party developers. (Native engine would not solve this either, since it's to do with maintenance and workload)
Performance: GPU drivers are native technology! So if driver problems cause poor performance, a native engine won't fix that either. In fact browsers have done a ton of work to avoid performance pitfalls and crashes in GPU drivers. Last I saw for example ANGLE (used by several browsers) had workarounds for hundreds of driver problems. If we make a native engine, we will have to re-do all that work ourselves, or face all the performance pitfalls, crashes and glitches. So I genuinely think a native engine would make this worse, not better. I often read about native developers having a total nightmare over this, so I think web technology is a good choice and this aspect of it is underrated.
It's easy to think of native code as being a magical solution that makes everything better. But in many cases it's either irrelevant, or could actually make things worse. There was a better case for it if you go back 5+ years, but now I think there is very little reason at all for it - especially with technologies like WebGPU on the horizon that have a decent chance of actually overtaking native technologies in some respects.