Shorter explanation:
In C++, struct and class were just two sides of the same coin. The only real difference is that one was public by default and the other was private.
In .NET, there is a much greater difference between a struct and a class. The main thing is that struct provides value-type semantics, while class provides reference-type semantics. When you start thinking about the implications of this change, other changes start to make more sense as well, including the constructor behavior you describe.