Because, Einstein, they didn't have a public working version of this when the XBOX was released, and not everybody is going to ever use this. :/ In addition to that fact, this method allows them to easily and quickly deploy updates and bug fixes, and you know what else? IT GIVES THEM SOME MONEY FOR OPENING THE XBOX 360 TO INDIE DEVELOPERS. A wonderful thing to do, in the eyes of this indie developer. And look, Nintendo's already followed suit, with their release of WiiWare, and (unless Sony proves to be stingy about their console, as would be par for the course, in my opinion) Sony will probably be following behind soon enough for the Playstation 3.
Sometimes, a little bit of money (honestly, XNA CC membership is NOT expensive. At all) to open up what used to be a high-profile, commercial-only platform to something that used to be available only to those with lots of money, or the knowledge of how to crack into their system's software (I've worked on a couple Nintendo DS and Gameboy Advance projects in this way), is now open to anybody with brains, a decent team, and a measly ninety-nine dollars a YEAR. I pay more than that for a dedicated server MONTHLY.