Others have mentioned this issue as well. And I have commented on it. Yes, it's very aggravating but I don't know of any sets that allow you to add channels for viewing if they weren't found during a scan. What you can do is to get a second antenna and use a combiner and push both signals from the antennas through when you scan. Sucks you have to do this, but it's the only way that I know of. Something the TV manufactures never thought of I guess. Or, get an omni-directional antenna. I guess it depends on your distance from the transmitting towers.
I remember I sent an email to Sharp for this exact issue when I purchased my first LCD tv back in 2006. I suggested it would be a straight forward software update. They said "sorry".