I believe that feature is possible only with top-loading bobbins. There are pros and cons to top-loading versus front-loading bobbin mechanisms. Not sure that anyone has done a comparison of newer machines, but I know that when they first came out top-loading bobbins were said not to produce as nice and even a stitch as front-loaders. Having never had the option to wind bobbins through the needle, can't say this is a feature I would be looking for in a new machine. Having needle-down and the ability to change needle position with a tap of the foot (features on my vintage Bernina) are much more important to me.
Edit: I should add that my machine has two spools for thread. When I wind bobbins the needle doesn't move, so it's quite easy for me to wind a bobbin without unthreading the machine; it just requires using two spools of thread -- one for the needle thread and one for the bobbin thread.