I've been wondering the same thing. I've built a number of PC's now with this, the first one I came across was someone who'd built their own PC, had it running with just 4-pins, got a convertor for it, and ever since they added the convertor the PC stopped booting, so they called me out to take a look at it. I removed the connector, re-plugged the 4-pin connector back in and it started working again fine (why they didn't do that themselves is beyond me?).
I then built a few computers with this on, the first one I came across whilst actually building a new PC had a plastic cover over the extra 4 pins. I've built numerous ones with just the 4-pin connector on and no 8-pin.
Also the PSU's I get always seem to come with 4-pin cables anyway - I always try and use 750w PSU's regardless of whether or not it's overkill for the PC I'm making (I'd rather the person have more power there, especially when they start plugging things into the USB ports like sat-navs, and mobile phones, and external hard drives and forget how much extra power all these things are pulling from the main PSU!) - also a lower wattage PSU might be running at it's limit and burn out faster (like trying to drive a car all the time at it's top engine speed!). I had one person I went to and I couldn't believe how much they'd got running off a 300w PSU and wondered why it had gone - 2 internal hard drives, 2 DVD drives, and 4 external hard drives, USB ADSL modem, mobile phone charging, and sat nav charging (as well as the PC!!).
But even though I'm using such high powered PSU's I've never once yet come across an 8-pin connector on any of them, they all have the 4-pin and the 6-pin PCI-E connectors, but as of yet no 8-pin. I presume it's because I never use the modular PSU's, but all the PC's I build with a 4-pin connector in the 8-pin slot all work - so if it ain't broke why fix it? It is strange though how there is never any mention of this in the manuals (if you look at the pin layout in the manual though you can kind of figure it out, but it's not very clear).