You assume wrong. You can enable it in the UK. The artwork for movies that are in currently in the TV Guide wont display, but when you look at a directors or actors collection of work you will get artwork for all the other movies. Apparently it also does this in the US.... just a bug that has never got fixed.
Of course for some reason the movie guide has never been officialy supported outside the US, but atleast the backdoor to enable has always been there ;) Incidentally the movie guide feature was even better back in MCE2005 as you could look up an actors bio as well, but for some unknow reason that feature vanished in Vista :(
Anyhow.... to enable the movie guide feature you need to change the following registry entry from UK to US, then reboot your machine.
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Media Center\Settings\MCE.GlobalSettings]
"systemGeoISO2"="US"