Exactly the same thing goes for what I do with the devices I buy, and what software I install on them. It's not in Apple's interest that I have a choice of what source of apps I use - but giving me as a consumer that choice would expand the market (e.g. by making it possible to sell an app-based service with a 20% profit margin - currently if you tried to make one, you'd lose 10% on every sale). So yes, consumers currently have a choice of which side of the duopoly they want to live on. I believe more choice would be better, both for consumers and for the ecosystem as a whole.
Windows and Mac and Linux environments are not sandboxed like this either. All my data is files in folders, and I can export it as I like to another machine.
If I have a windows computer, and I buy a mac, I can't run all my windows software. The developers of that software may not even make mac equivalents.
The idea that choices need to be ultimately convenient and consequence free is just not realistic. Depreciation, transaction costs, and functional differences between products are a consumer's problem to manage.
I agree with you on media files, but, I also know that there are plenty of workarounds to exporting iTunes specific media formats if you would rather leave iTunes behind.