Why does Ethernet on UTP have much greater range than other modern protocols?
First, the technocal answer:
For one, USB3 and SATA both use thin stranded twisted pairs (USB3 spec states to mak the cable 'as thin as possible', with 26-34 AWG given as example). 10GbE uses four solid relatively thick twisted pairs (23 AWG minimum). The thicker and solid strands create a larger surface area which in turn means lower resistance to high frequencies (which travel on the our layers of the wire due to skin effect).  

Secondly, SATA is designed as a disk interface. It doesn't need to be able to exceed the disk's performance. USB is limited by the fact that USB doesn't support DMA (direct memory access) so for higher speeds, the peripheral's CPU becomes a limiting factor.
Ethernet is designed to use dedicated hardware supporting a multi-point to multi-point topology. It needs to sustain data rates far over that required from a single station. It is therefore also much more expensive.  

Lastly, delays become a significant factor at these speeds. Ethernet however is specifically design for a high-latency, lossy medium and as such can deal with long cables. (S)ATA is the exact opposite - to deliver maximum performance latency needs to be kept to a minimum.  

Costwise, ethernet requires the use of magnetics for galvanic seperation. This is important because the longer cables mean you cannot use a common ground between systems. Since the magnetics (basically transformers) are phyisical devices that cannot be implemented on pure silicon, they are expensive. A complete Ethernet PHY will cost a couple of dollars minimum, while a USB chip can be made for a few cents. For DSL, the story is similar.

In summary, it isn't the cable that is necessarily the limiting factor (although they're designed to cost too).  

The non technical, and maybe more 'real' answer is that each technology is designed to meet its specific requirements at a specific time. The physical layer is only a small part of the story.
So why does one support longer distances than the other? The answer is 'because they're designed that way'.
It all comes down do 'design to cost / requirements'. The main reason so many different transmission protocols exist if because there is 't one that meet all requirements for everything. As such, companies design new systems that meet all their requirements, but one other. Yes, it would theroetically come up with a single system that covers 90% of everyone's needs, but that then immediately means the companies can't make money on their own proprietary systems. Furthermore, anything you can come up with will be out of date in a few years.