Jason has posted an entry discussing X servers in Services for UNIX:
I've been at Microsoft for more than four years, now, and I've been intimately involved with the SFU product for that entire time. I know that the SFU team has considered the question “Do we bundle an X Server” every six months, like clockwork, during that entire time. Each time, we reluctantly came to the conclusion that the answer should be “no”.
So there you go. Near the end, he suggests some alternatives for people looking for this functionality.