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One way to look at it is Java SE is the base JRE and Java EE is a set up libraries and specifications on top of the standard JRE. Java EE is just a specification and JPA is a part of this spec. You can download the SDK that gives you the interfaces to build against, but you then need an implementation to run your application.
I think the bigest drawback to bundling them all together is that you are then adding things to the platform that many developers will not need. There is no point adding all of the interfaces for the complete Java EE specification for a Swing application. Also it would mean you are tied to a given version of Java EE or Java SE.
I think the separation is good as it allows you to combine the components you require and even specific versions of a component or specification.
Maybe I am just rambling so I will leave it at that for now :)