It would be nice if their bootloader "just" loaded the entire image into RAM and let the user continue booting and running without the USB drive attached. Optical drives are on their way out, USB drives with a trustworthy write switch are obscure (if they exist at all) and this seems quite secure. I'm using scare quotes because I don't know how difficult this is.
I agree that this seems like the best compromise: Have the bootloader load the squashfs (or whatever) to RAM, and then unmount and prompt you to remove the media before executing the kernel. In order to compromise that, you'd have to corrupt the process which creates the flash drive originally; if that's been achieved then it's game over regardless.
Unfortunately, many/most laptops do not support booting from SD cards. If you were to store the main image on an SD card, you'd still need a cd/dvd/usb drive to load the bootloader.
