I think the reason mSTX exists at all is simple:
The desktop market is contracting, and x86 has no traction whatsoever in the mobile market. Intel is trying to diversify a bit to get more of their chips sold, so they have turned to the mini-PC market. it also helps out their system integrator partners to a degree due to how useful modularity can be for creating a system, and how much money can be saved when some of the engineering work has already been done.
One of the biggest points that attracts customers is upgradability even if most of them never actually use that capability, so it makes sense to pursue that angle a bit even if it makes the board a bit larger. Bear in mind that, even if the board isn't much smaller than mITX, due to the other system constraints, the systems are a fair bit smaller, even if they don't come in as small as NUC or custom systems from OEMs (and a fully custom system will always let you get smaller than a modular one due to the engineering constraints imposed to actually allow for a choice of components, eg. keepout zones).
I still think it's a poor move to not have MXM as an option, though, since the people more likely to value upgradability are also more likely to have additional requirements for add-on boards, especially graphics. Granted, MXM is hard to acquire and isn't that financially viable, but they aren't impossible to source, and it's another check box that would help differentiate these from your standard NUC or barebones mini-PC. I also suspect this form factor is more for system integrators anyways than it is for the general public even if the popularity I have seen might make it viable to sell to the custom market, and sourcing MXM cards isn't as much of a problem for OEMs, plus volume discounts make the parts cheaper.
As for an AM4 system. We'll have to wait and see. I actually wonder about power myself. While they have given Intel shit in the past for space heaters like the pentium 4, AMD hasn't done nearly as much in recent years to improve their power and heat efficiency as their competitors, though they have been getting better reasonably quickly.
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Frankly, when it comes to small PCs, I think they should look at how companies like Zotac do things. The mainboards on the more powerful systems tend to be a bit larger than this, and their steam machine is even slightly larger than mITX if I am not mistaken, but the layout they use lets them cram the boards, and the cases themselves are still rather thing and the length and width are scarecly larger than the mainboard. Some of them have socketed CPUs or MXM graphics (though most are still soldered). I think much of the space savings has to do with the layout, though: while it's ostensibly for ease of upgrading, all the user replaceable parts are on the underside of the motherboard including the SODIMM slots, any M.2 or mPCIe/mSata, and I have even seen one or two 2.5" drive mountings (and that right there is a killer feature in my eyes, both because mounting directly to the board saves space on cabling and mounting brackets, but it would also let them put an SFF-8639 connector on the motherboard to support U.2 and Sata Express drives in addition to regular SATA drives). Putting everything on the bottom allows the entire topside of the board to be used for motherboard components, and the CPU and GPU and associated cooling equipment.
