Talk of a Moodle Lite has gone around for a while ... removing anything will always upset someone, but I too would love there to be a mechanism to download just the core, and then have a web interface to download the rest.
The trouble is designing this to work in a way that doesn't cause a flood of problems across the very wide range of platforms that Moodle runs on. Moodle usually runs with very low permissions on the web server. We can download software into Moodledata (assuming PHP is compiled to support the downloading), but the PHP scripts can not be run from there unless we place Moodledata in the web directory, which is itself a security problem ... and so on.
It will also place a lot more load on moodle.org rather than sourceforge or
fantastico, since there needs to be a proper repository of downloads that can support all those admins clicking "update".
Most importantly, developing it would involve a lot of work ... and in the scheme of things this feature (which only affects some admins) doesn't rank that highly against features that help all teachers and students ...
I am very open to someone else working on this and coming up with a solid proposal.