Hi,
I think that this is because the Call Requests are an older part of the product than the Incidents (Even though Incidents aren't new!). The ability to change the Priority was added when Incidents were added,but Call Requests don't have that.
I don't know if you can do much about this. You could customise the product . . . but unless I'm missing something, that "Transfer" page is not composed of one nice easy .HTML form to modify and add in a Priority field to.
On the other hand, how are you choosing the "Transfer" action? If you have access to the menu that gives "Transfer", then the user probably has access to the Priority and can change that before/after Transfer.
Kyle_R.