And what's the advantage of doing so?
Decoupling shadow maps filtering from geometry complexity, working around GPU inefficiencies (GPUs work on 2x2 quads, and often quads are not completely filled with fragments to shade), reducing shaders combinatorial explosion, enabling your engine to fetch a
per-pixel dynamic number of samples from the shadow map without using dynamic branching, etc..etc..
I personally developed this tech for a PS3 title, so yeah, games do that.
A lot of developers discovered on their own, more or less in the same time frame, how useful this technique can be.
If they would do it like that, then there would be no explanation for not supporting AA under Direct3D 9.
Of course there is, and it's related to the fact taht you can't read back subsamples of your multisampled z buffer in DX9 (and DX10.0 as well..), the only way to work around this problem on PC is to supersample your shadows..and this can be fairly slow.
On consoles we can do much better than that since we work closer to the metal