Himespau, I tend to have the same problem. I'll wear a goretex jacket directly over a thin, long-sleeve wool tee shirt sometimes. If I work up a sweat, I start to feel clammy. It's a nasty feeling. And you're right, some kind of liner will fix it; your base layer wicks sweat away, but your rain coat won't absorb it, and only "breathes" it out slowly, so the sweat just hangs around, making your sleeves into "nasty bags of wet."

But the lining doesn't have to be part of the coat, or permanently attached. If it is, then you've got a cold weather jacket that isn't very useful in a cool rain. If it isn't, if they're two independent layers, then you get a lot more use out of your stuff, and more bang for your bucks.