Frustrating Design

[Neophyte]

That is not the design reason, it is the design choice.
They chose to have it act like a retainer inventory. Why though? The answer to the question is what I call the design reason.

Well, then you missed the few occassions where they explained the 'why'.

Whenever you join a duty all items from inventory get 'transferred' to the duty server with your character.
Saddlebag inventory doesn't, so in the end we have more inventory space without needing the game to transfer more data.