One thing that's nice about the newer external power supplies that Casio uses is that they are not "wall warts" -- instead they are the "lump in the middle" style, with a removable power cord of common design. It would be cool if the power supply were small enough to fit in the battery compartment. (And you could even cut a hole for the power cord itself.) If you could leave it in there, you'd never worry about leaving it behind! I doubt it will be quite that small, though. (There would also be the question of whether the power supply, if operated so close to the electronics, might induce any hum/buzz problems in some situations.)
Good idea about it fitting in the battery compartment. But in reality, Casio made a good choice by doing it the way they did. First, internal power supplies get hot (heat damages electronic components) and/or shortens their life. Second, internal power supplies add considerable weight compared to the rest of the internal parts. Third, without extra shielding (more material/weight) hum could be introduced. Fourth, if anything goes wrong with an internal power supply you need to take the entire unit in for repair.