Yes, the idea is cool. But even if you trust Microsoft it's obviously a privacy and security nightmare. How many people would install a keylogger on their own system? And then make that keylogger trivial to search through? It just makes windows computers extremely valuable targets for hackers and I'll ban them on my networks even if relay isn't enabled.
Edit: I imagine there's going to be fewer keyloggers developed. Microsoft provides one for you, that's officially signed, legitimate, and won't trip antivirus systems. Attackers now just need to make programs that turn on replay. They can then wait. User sees replay running? They blame Microsoft. Legitimate software is so buggy that it's not going to set off alarm bells. That virus just needs to lay dormant for a week or so. And if the user already had replay running, well then the attacker can extract information prior to their infiltration. Stuff that wouldn't normally be logged even if the user had a keylogger.