Well, that is really a great idea! Having a maximum bet that a player can set will give us control over our bankroll and losses. Most of the gamblers lose control when they are pissed off or when they feel it is their lucky day that in the end turns to ba big loss to them. Indeed, this idea might not be implemented by gambling sites because this might lessen their profit once big bettors will win.
You already mentioned it, gamblers lose control. Therefore, these gamblers will proceed no matter what, with or without that max bet option feature.
And besides, that feature can't be applied to all users as not all users do have the same behavior. So basically, that feature will be an option. And if a gambler came to the point that they want to continue their gambling activity on that particular session, they will just disable it and then that's it.
Again, that kind of behavior can just be addressed with the gambler's itself and not by websites putting lots of bankroll protection feature or something along those lines to their users.