Although the chips in an iPhone may have FM radio reception capability, it requires more than a chip to have an FM radio receiver. You also need software and a proper antenna.
Apple could, of course, ship the necessary software, but it would probably require a hardware update to get the necessary antenna.
Cellular modems use a variety of frequencies between 600 and 6000 MHz (plus some in the tens-of-GHz bands for millimeter wave 5G). FM broadcast radio, on the other hand, runs at much lower frequencies (87-108 MHz). And AM radio even lower than that (530-1700 kHz in the US). These require very different kinds of antennae.
FM radios that don’t have an aerial antenna typically use a device’s headphone cord as the FM antenna. AM receivers typically use a bar antenna (wire wound around a metal core), which tends to be large and bulky - not appropriate for a modern hand-held device.
The iPod nano could get away with an FM receiver because it had no speakers. Users would always have headphones attached, so the wire was available for use as antenna. It’s worth noting that it did not include AM radio support.
For an iPhone to receive FM radio, it would also need a fairly large antenna. Without headphones connected, there would need to be something else, like a wire hanging out the back or an old-fashioned telescoping antenna. Something Apple would probably not want to implement unless forced to do so by law. I also suspect that most people would not want to buy such a device.
I suppose Apple could use the shield of a Lightening cable as an FM antenna, but that would be really awkward if the device isn’t connected to something (like a computer or a pair of wired headphones) at the time.