Because, just like Mac users, Linux* users and users everywhere which has a full rich user-interface, not a minimal mobile interface, they like to be able to get applications from any source, not just one central location. While the Apple AppStore no doubt is successful, Apple has most definitely proven just how bad that idea works out in practice, and how trying to control it effectively leads to inconsistent censor…
I agree with your other points.
It would also be very difficult to set up the deals with enough other vendors for it to be worthwhile. I can imagine many of them not being happy relying on a single channel.
Also, the presence of software on CDs in shops is good marketing for MS - a major objection to MacOS and Linux is "I cannot buy software for it in the shops around here".
If they excluded open source, it would reduce what is available. If they include it, they would give a message that they do not want to about free (in both senses) software.