Of course, in many implementations you usually also get a version of a constructor that uses a provided comparison function. However certain things, like plain numbers or strings, have a natural ordering to them, hence the need to have the sorted-set in Clojure also work with Java's Comparable. But again, I was expecting a Clojure specific protocol.
The reason for why this happens, I believe, is because protocols weren't there from the beginning, being a feature introduced in Clojure 1.2. From what I understood, in ClojureScript protocols are "at the bottom" as they say, so there's hope :-)