This is something Ive been wondering lately too.
Im certain it has to do with the steam wand/steam power of domestic machines. I had a play on a La Marzocco GB5 the other day with exactly the same milk I use at home, plain old Pura, and it tasted so much better than my sunbeamer.
A commercial machine often has 3 or 4 holes, while cheaper domestic machines only have one, so the milk doesnt get as much agitation. Having a dedicated boiler also means the milk heats up quickly. I recall reading somewhere that this helps to preserve the sugars in the milk, keeping it sweeter.