That's an interesting point that I hadn't really considered, thanks. That said, Microsoft is an American company and perhaps they should make their own hardware if they really want to compete in the US phone market....
There are certain markets where I feel Microsoft has to be careful in. Making Microsoft brand PCs or phones would get dangerous for their antitrust ruling which only recently ceased. Consoles have a long precedent of having the software directly tied to the hardware, as do MP3 players. PCs and phones, not so much. If Microsoft were to start making their own phones and ended up gaining significant marketshare, there's the chance they could be cited again (though not as strictly if they were not actively anti-competitive). Even Apple has come under federal investigation for potential abuse of their iPod monopoly.
Apple is an interesting case in that they've been allowed to control every aspect of their system because they have such an insignificant marketshare. Their aggressive actions in the mobile arena coupled with their unbridled success may very well see them in the same boat Microsoft was in during the late 90s.
