FM or Frequency Modulation works in a line of sight so as long as your antenna is pointing in the direction of the radio station you will pick it up. Clock radios sometimes have the antenna for FM placed in the power cable others have an extension wire because that's all is required to pickup FM signals. I am not familiar with the feature you're talking about but perhaps there is an external wire or something which is your antenna it may be inside your phone so you point the phone in the relevant direction.
AM or Amplitude Modulation is much more complicated to receive because it uses what's called a ferrite core antenna this is basically an iron core with a wire rapped around it. Every AM radio has this pivoted to the circuit board inside your radio others have a square like external antenna. It is because it is much more complicated to receive that I would assume is the reason why your phone does not have that capability its not because the manufacturer's didn't want put it in and then again there is an argument among some that AM is obsolete.
