That's the thing. We'd all like not to be tracked. Well, most of us, at least. However DNT does not control whether or not you are tracked - it merely conveys whether the user has specifically asked not to be tracked (or to be tracked, in the case of DNT: 0). This is useful because it is a necessary component in other means to stop tracking. For example, some countries might manage to get a law passed forbidding tracking unless the user has opted in, in which case a DNT:0 request header could be a convenient legal requirement for tracking. Another place might pass a law forbidding tracking users who have opted out. This would be difficult because how would you know if someone has opted out without some degree of tracking? Well, looking for a DNT:1 header would do the trick. Another situation would be if some privacy-motivated coalition negotiated a deal with major advertisers where the advertisers wouldn't track users that send a DNT:1 header provided that browsers don't send DNT:1 by default.
Now, what are the effects of IE's approach? First off, that deal actually managed to happened, but it broke down because IE send DNT:1 by default. The other two cases are hypothetical.
If it were law that tracking someone who has opted out of tracking is illegal, and an advertiser is caught tracking IE users who send DNT:1 the advertiser could argue that they have no reason to believe that the user has opted out at all, and point to the fact that IE sends DNT:1 regardless of whether the user has asked not to be tracked - and that the only users who don't send DNT:1 are those who edited the setting from the default and explicitly asked requested their browser NOT to request no tracking. Someone who asked not to be tracked would have DNT:1, but someone who didn't would ordinarily be sending DNT:1 too, and there's no way tell the difference - but some statistics could be provided showing that the majority of users don't try to opt out of tracking and therefore DNT:1 headers correlate mainly with users who did not opt out (and if the browser says otherwise then it is simply lying). They might go to court and they might lose that argument, but there's also a rather good chance that they would win it and become exempt from having to respect DNT headers, assuming they even get caught in the first place.
If it were law that tracking requires opt in, they could easily argue that lack of opt-out qualifies as opt-in for the same reason as above - that the user went out of his way to specifically not ask not to be tracked. Thus consent is implied even if there is no DNT header at all.
The DNT header is meant to be a way to indicate whether the user has opted in or out. IE opting out on the users behalf unless they specifically asked for tracking to be allowed gives slimy advertisers the opportunity to claim that apparent opting out implies not opting out, and that not opting in or out implies opting in - leaving nothing at all to imply actually opting out.
Microsoft's decision does absolutely nothing to block tracking (actual blocking - as opposed to DNT requests - is the topic of TFA in fact); all it does is remove any way for a user to unambiguously opt out.
If you really don't want to be tracked then we need 2 things: a law that compels advertisers to respect opt-ins and opt-outs, and for browsers not to send fake opt-outs on behalf of the users. If Microsoft actually wants to protect users from tracking then it should look into blocking trackers like Mozilla is doing here, and informing users that they can opt out of tracking instead of doing so automatically and leaving users with only the option of stopping the opt-in requests.