The problem there is that if Microsoft makes the forum, it needs to be properly supported and maintained in order to avoid damaging Microsoft's reputation. At least when it's a third-party like uservoice or aerotaskforce, Microsoft can pick and choose issues to respond to and doesn't have to administer the site to make it shiny, work well, test it, de-spam it or de-toxify it if it becomes a massive hate-fest etc.
Also it becomes a focus point for anti-Microsoft press; the headlines turn into "Microsoft's official complaints against Windows8 now reaches N!" or "X people have asked Microsoft to re-introduce the start menu!" - even if X is small (like 1000), it's bad press that Microsoft is bringing on itself.
If you're the head of PR at Microsoft and you open the newspaper in the morning to see "Microsoft Flagship Product XP now has X people hating it on official Microsoft forum", and you investigate to see that Microsoft is, in fact, hosting a site almost solely dedicated to tearing apart its own products - what would you do?
Sometimes you have to think about ideas from multiple angles. Yes, the site would probably be useful and have some useful feedback. But it would also almost certainly be used as anti-Microsoft ammunition by vested-interest journalists. If it were over-policed it would get bad press for "censoring" issues, if it were underpoliced it would rapidly gain more noise than signal or become utterly toxic.
It seems that a better solution would be uservoice or something to do the legwork. Making it a Microsoft-branded feedback site sounds like a recipe for disaster.