I think splitting vs not splitting could go either way; there are pros and cons to each default, and as long as there's a mechanism to do the other one, it's workable.
But I do think it's a bit counterintuitive that parameter expansion is not split by default, while command expansion is. I would in general have expected foo $(bar) to behave identically to baz=$(bar); foo $baz. In bash or ksh, that's true (probably absent some edge cases I'm not thinking of), but not in zsh. Specifically, I would have thought you'd need ${=$(...)} to get the word spitting that you instead get by default.