And Microsoft has always allowed you to load whatever you want on Windows, even if they've worked really, really hard to make sure that what most people want installed is their own software, often by bundling and such. (The Windows 8 Marketplace will be a departure from this, but there are already loopholes and there will likely be more.)
They even let you load your own stuff on XBox -- and on the Zune HD -- using their free dev tools. Now that Sony has backed off their Linux for PS3 support, Microsoft is the only console maker to support this.
Microsoft knows that power users and early adopters are a crucial market for them if they're going to grow their tiny phone share at all. Power users and early adopters often like to do things that are outside the box. So if they can offer enough of the openness of Android (not nearly all of course, but enough), maybe more people will come on board for a sort of best-of-both-worlds thing: a locked down platform for the overwhelming majority that cares more about security, and an override for the enthusiasts who want to homebrew apps.