No, no, you don't understand. Microsoft does this because they care! Ask any Windows developer :-)
Seriously though, objectively speaking, no matter how ridiculous this technology churn seems to us looking from outside of the Microsoft universe, it does keep people perpetually employed. It feeds not only Microsoft but a huge ecosystem of businesses, consultants, IT experts, MCEs, support stuff, technical book authors, administrators, etc. It is great!
It may look inefficient, but if it was really inefficient, would it continue to exist and be successful in a market-driven economy? Well, of course market rules wouldn't apply if there was a monopolist in the room :-)
Just to show how objective I can be, the constant API churn of the Linux kernel acts in much the same way. And it sucks.