I agree. I think this is a bad design and not intuitive. I press down to jump to the end of a clip so I can hit O to mark out, and it includes the first frame of the next clip.
I don't get how that's useful, however common it may be.

How many people are having to go back 1 frame because of this?

I want to export a video ending on fade to white. I go to end of sequence and hit out, but now there's 1 frame of black (nothingness) after my last frame of white. I just don't get where that's useful.

This feature is as designed. On Premiere Pro and many other NLEs (Media Composer, FCP7), when marking out using the Playhead, your mark out is inclusive of the entire frame—so you are actually marking an out on the first frame of the adjoining clip—that is why you are seeing the behavior you describe. No trouble marking in, however, you must toggle left one frame when marking an Out Point when setting durations with the Playhead.

It's been this way for as long as I've been editing, including marking in and outs in the CMX tape to tape era.

If you do not use the Playhead for marking the duration of a clip and use Mark Clip instead, the Out Point is set correctly, setting you up perfectly for a Lift or Extract. You might want to give that a whirl.

That said, Media Composer has a toggle to mark an Out Point as you desire. You press Ctrl or CMD (Mac) as you mark out with the playhead. In my opinion, that would be a great feature request. I used it all the time when I was a MC editor.

Cheers.

Agree! To mark out the correct end point of a timeline, I have to often hit END, Left Arrow, O.