I agree with all the reasons that Dan lists, and would like to add two of my own.
The first is that vista is already big enough. Strike that, Vista is already 8x bigger than it should be, from an agility standpoint. Adding in another application only makes that worse.
But there's a more important reason.
I'm part of a team that creates Windows Movie Maker, a very nice free downloadable video editor that runs on Windows XP. We have the same sort of discoverability problem that Visual Studio Express has - people don't know that Microsoft creates such a product, so they don't know that they can go and download it.
Well, actually, that's not quite true. It is true that the vast majority of people don't know there is a free product known as Movie Maker. It is false that they don't know that they can download it, because Movie Maker is part of SP2.
Discoverability is not about whether something is on your machine or not. It's whether the information is available to you through a source that you will pay attention to.
The 16-year old kid that might turn into a great programmer won't find VS through spelunking his Windows installation. He won't find it through a menu pick.
He'll find it through the message he gets from his computer instructor, through the chat message from his gamer pal, or through the post on BoingBoing or Digg. Or maybe through the splash screen on a game that he downloads...