I'm not sure it has much to do with DRM. If the stream is protected by DRM it will still be protected if it's saved locally. Obviously streaming makes it harder but it's very possible and Netflix shows like House of Cards on thepiratebay show it is being done.
I think one of the reasons for the absence of the feature is simplicity. When people ask me how to get movies for free I always recommend bittorrent, but most think that is too cumbersome, they just want to pick a movie and click play. If Netflix was to add the option they'd have to use a more complicated UI. They'd have people calling up complaining "It's not working" when they run out of storage, a lot of the non technical people I know still think RAM and storage are the same thing. I'd guess that the majority of Netflix users are non technical, stream from home, and not enough would use the feature to justify the development costs and complicating the UI.