In fact, the procedure to replacing the CPU with machined with the power cord plugged is risk! you can damage your motherboard and CPUs.
Manageability and security are features included in the Business Desktop/Modile platform (aka. vPro) and KVM is one of these features, and you are right, Core i5 and i7 2nd generation are targeted to these line of computers. However, definitively, it is not only a market decison do not include KVM at this moment in Core i3. As you may remember, for the first Core i5 and i7 just a few CPU are KVM capable (only one with Direct Media Interface Integrated GPU) and all Core i7 desktops SKUs were not KVM capable, that is more expensive than Core i5 SKUs.
When a CPU is produced, we have a limited space available in die and every feature count space. For example, with the 1st Core i7 generation, Intel decided to include 4 cores instead of a GPU for higher performance, while with Core i5 decided to include only 2 core and one GPU, that allow use of KVM. - it's a metter of choice!
vPro, is a platform with several features, and how much different components you enable, more complex is the test matrix and more expensive will be the final product. It was also an engineering decision to select a set of CPUs designed for this purpose to have a competitive price.