If it is so much easier to use the Customizer, then why haven’t developer’s used it? There is certainly things that can’t be done with it…

What, specifically, cannot be done with the Customizer?

I have spent probably thousands of dollars on themes, most of the times because they offer advanced customization… Often, they are from individual developers (not a big company) and they will probably spend their time and energy creating new themes than spending a lot of time rewriting most of their older themes…

Integrating the Customizer does not require a "lot of time", or "rewriting" Themes.

What will happen then? Their themes (at least the customization part) will stop working? I’ll have to keep a copy of WP 4.2.2 at hand and not upgrade…

No. The Settings API is still in core. Themes not listed in the Theme directory are entirely unaffected by this change in requirements for directory-hosted Themes.