I'm pretty frustrated that you can't play a Death Knight of any race in either faction. If you're a Human Death Knight, you HAVE to be Alliance; if you're a Tauren Death Knight you HAVE to be Horde... that just strikes me as the wrong way to do it. I hope they change that.
I think it makes perfect sense. As a Death Knight, your character was previously part of the Lich King's faction, under his control. But, since bringing themselves away from his influence, each Death Knight has become their old self again - bringing their mind back to their former race factions (Alliance and Horde).
Imagine a human approaching some forsaken so they can join the Horde. Why would the forsaken let a human - especially one that looks to be a member of the hated Lich King's army - get close without killing him, long enough for him to declare his intentions? If our characters are alive and willingly joined the Death Knight cause, they not only betrayed their own race but their entire faction. Why should another faction trust them now?
It's also just so much easier to keep the consistency, rather than allow cross-overs with this one class.