Why does a good camera like an S95 not have this ability
Because Canon has decided its S95 target buyers don't need it, and are unlikely to use Raw if it was provided anyway, because they don't have the software or the time/skill/inclination to use it. Many professionals only shoot JPEG, because if you get things right in-camera, the output is indistinguishable from a post-processed Raw, and you can still tweak the JPEG quite a lot if needs be.
All images start out as Raw, even in phone-cams, and can't be viewed without processing. Even if you shoot only Raw, the image you see on the camera's LCD is a small JPEG, and all images are finally output and viewed as JPEGs (well, 99.9% of them).
The key difference is that when you choose JPEG, the post processing parameters are decided before you take the picture and applied immediately in-camera, as opposed to being decided and applied afterwards with specialist software on the PC. The result is a dramtically smaller file, which is ready to view and is much faster/easier to manage.
The main reduction in the file size is from the mathematical compression, not the 'loss' of data as such - the pixels are still there. For example, if you have an area of uniform tone such as a clear sky, if that occupies 2m pixels it might be written as 01010101 two million times - a massive string of data half a mile long. That can be reduced to a formula 01x2m, and that cluster of pixels in the image still looks exactly the same. You get the idea.
After the JPEG process, some data is discarded, but only because it's not needed (depending on the JPEG level selected). The difficulty comes if you then want to further modify the JPEG, and find that some aspects of the compressed clusters are locked together - you can change the cluster to make it darker or lighter or more blue, but only as a group. Fortunately, most clusters are only a dozen or so pixels on average, if you've selected JPEG Fine, but of course you can't modify anything that's been discarded. However, you can still do a lot more to a JPEG than some folks think - it's not completely set in stone, far from it, but obviously there's less scope.
Bottom line these days is to shoot both Raw and JPEG, and get the best of both worlds (if you have sotware). It used to be a big decision because memory was expensive and cards were very small, but it's cheap as chips today, eg 8gb for £20 whereas only a few years ago 1gb would cost £100 or more.
Edit: hang on a minute, Canon S95 does Raw!