X treats Num Lock as a modifier key. GNOME users reported loss of some keyboard functionality when they auto-turned it on. It doesn't happen to all keyboards, but does for a few and hence the developer decision to leave it turned off.
Also, being treated as a modifier key (Like shift, ctrl and others), some application programs start to behave abnormally when Num Lock is turned on. The only way to avoid this is to map every key of the Num Pad to their functions explicitly, thereby removing any need for pressing the Num Lock key for the functionality of the pad.
(KDE does not have this issue at the DE level, and you can set the option in its settings just like you do in Windows)