MS is now a fledgling hardware Company with a rapidly expanding selection of its own retail outlets.  It makes sense for them to have their own branded phone if they are serious about competing with Apple (which I don't think anyone doubts that they are).

That said there is less opportunity for them to innovate around Windows Phone 8 - but who knows, maybe they will surprise us.  I quite fancy a slim line keyboard cover for my next phone (with a piano keyboard option?)