Well, it's not a perfect solution, but you could just use a separate software to put the watermark onto the images. Faststone Resizer can do this (freebie from Faststone.org).
As I see it, LR3 is basically designed to make it as easy as possible to add a watermark. OP has a rather different approach... I think most users would prefer it to automatically scale the WM to fit different size images (just be sure the WM file is large enough for the largest image it ever needs to be added). Yep, it even scales as needed for vertical vs horizontal shots. And, since LR3 can control transparency easily with a slider, you can simply make any and all of your WM files "full strength". Just a different approach....
But maybe what you would like to be able to do is something Adobe might add in future versions, that you can set it to not scale the WM but simply trim it to fit.
I'm just happy to finally have an easy means of WMing in LR. WIth LR2 I used Faststone separately, with 50% transparency PNG files set up for different size output. But have now switched to using LR3 so watermarking can be fully combined with my lower-rez/thumbnail Export workflow, saving me time and extra steps. Yes, I did have to set up new watermark files for LR, but I didn't think is all that big a deal to do... it only took a few minutes. PNG or JPEG make sense to use for this, since their file size can be kept minimal and they are among the most widely supported in a variety of softwares. Not everyone has the softwares to produce a PDF or even a PSD file. Practically everyone has something installed that can produce a simple PNG and/or JPEG.
A lot of the time I suspect the people designing the software are pretty unfamiliar with its end use... Adobe is probably better at Beta and Release Candidate testing than most... But certainly not perfect. I noticed a lot of "glitches" in LR3 initially. The latest release candidate appears to address some, if not all of these.