See, the data access speeds for the SD card are extremely slow, apparently. That's why it takes awhile (in the case of the TG16 CD-ROM and NeoGeo, forever) to load the data onto and from there. So, if you tried to play a game directly from the card, it would be an atrocious affair. Shame, really, because the chore of copying and erasing all of this data can be a real pain.
Of course, this is all unconfirmed at this point, considering the "news" comes from a random post on an internet forum. So, if you have a grain or two of salt lying around, be sure to take this tidbit with them.
[Via Go Nintendo and Nintendo Everything]