This is clearly either a problem in the way that R installs itself, or the way that LaTeX installs itself. I'm not actually sure which though and I don't know where to file the bug report.
When I just checked, I was not able to find a "sweave" package for R, nor was I able to find one for TeXLive 2009 (don't know about MikTeX). But I've experienced a similar problem on Mac OS X and on Linux, which provides some evidence that it's not getting packaged. Because out of the box support for Sweave is one of LyX 2's newest (and IMHO, killer) features, it might make sense to include a copy of Sweave.sty with the installation script and have it installed at the time of LyX configuration. LyX already does this with a few specialty document classes anyway (broadway, hollywood). Cheers, Rob
