There should be a warning on Wordpress about this. I changed my permalink structure and lost all of my PR on internal pages!!
I don't think that it's the responsiblity of WordPress to tell users this. The pagerank of any page is linked to the page url. If you change the url then the pagerank is lost with it. However, all is not lost. You can tell google you have changed the URL page by setting up a 301 redirect. Have a look in the WordPress plugin directory as there are some plugins which help you do this.
If you site is well established - as in over 1 year old, it should regain its ranking pretty fast. And it helps if your submitting a site map to google. That will really help get the new urls indexed. I have a wordpress site I changed the permalink structure on, and it regained everything within 1 week. But my site is also well established, over 2 years old, and submits a sitemap everyday.
I assumed WP would do something like add 301 redirects by default. It seems to have only half the required functionality for changing permalinks. I have found a plugin that does the redirection for now. My blog submits a sitemap every day but the google links are still pointing to the old page structure. One of these links is top of google for certain keywords and gets over 500 hits/day so will hopefully be updated soon!
I wouldn't say thats half the functionality. Permalinks is something you should set up at the start of a blogs life, not once it has been established. Again, I don't think that WordPress, or any software website for that matter, have a responsiblity to setup redirects for a permalink change. Good luck with the plugin
Oh no... how will you pay the rent without that pagerank? When you change the permalink structure you change the URL of your pages. So Google has to recrawl them. And this is why you create a sitemap and resubmit it so they will know your pages have moved. There are also plugins to handle 301 redirects. Should everything come with a warning? Caution... warning... and who would take note of those warnings?