I don't think OpenGL 2 even has the notion of early depth test at all (much like how it doesn't specify the exact algorithm for defining the shape of triangles). It was an optimization done by the hardware and as long as it gave the expected results it could do anything it wanted, so early depth tests worked by default simply because there was nothing against it. I imagine that disabling it if you modify the depth in a pixel shader has to do with caching (it invalidates the value in the cache)..
Using blending will also disable this hardware optimization, for PowerVR at least. They call this feature "Tile Based Deferred Rendering" in case anyone wants to look it up. Those little machines can handle a lot until you turn on blending, and presumably pixel shader depth writes. Once you do this they slow to a crawl.
I haven't gone to any trouble to see if the other embedded system manufacturers have similar schemes running under the hood.