Hmm... thanks. Looks like this feature is as rare as I thought.
I just looked at the
PS/2 keyboard protocol and it looks like the repeat rate is handled by the keyboard encoder (I had previously thought that was the job of the controller, which is on the PC motherboard), and the way the protocol is designed there's even no way to send a repeat rate beyond the normally-settable one. (You can get around this limitation with software, but Windows' implementation has issues as stated above.)
I wonder, how hard would it be to create a repeat-rate adapter (using e.g. DYI electronics kits)? It would need to store the current scancode and resend it on a timer... This sounds like a really fun project, though I'm a programmer and don't know much about electronics
Edit: this is relevant to my interests:
http://www.keelog.com/diy.html