My thoughts exactly. Although I do think it would be nice for windows updates or driver upgrades. Heck, it would be nice for anything on Windows' site (like the .NET framework, and many fixes for programs like Office).
I've often thought the same thing - the only thing I can come up with is that microsoft would have to work with other (competing) projects to get it working, not to mention build an entire (open) network for people to put their projects into. Imagine microsoft making it easier for users to find and install openoffice?