Warning: This post is speculative and my own assumptions. It is not based on any inside knowledge.
When people hear that (in addition to live.com) Windows Phone 7 only currently supports Facebook as an integrated information store. They often wonder why there's no built in Twitter support/integration with the people hub.
I'm not aware of an official reason, but as the question seems to come up so frequently I thought I'd document my thoughts on possible reasons.
1. To preserve battery life
This is the most obvious reason I can think of. If you're following hundreds of people all around the world and they're tweeting regularly that can be dozens of updates every minute. (If not more!) All those updates will soon add up to lots of network traffic, processing to handle them and space to store them. Then there's the issue of propogating the most important ones to the users attention. These are issues that I think are better solved by third parties, thereby leaving Microsoft free to focus on other parts of the OS.
2. Because everyone else is doing it
My next thought is based on the fact that everyone and his dog seems to be building a twitter client themselves. For many this seems to have become the new "Hello World" app. With so many other apps already in existence and each offering different features, having something built in at best would lead to duplication or at worst could stifle innovation by causing people to not create something new when part of the functionality is already on the phone. Having to deal with the moving target that is the Twitter API can also be an issue. If it introduced any new breaking changes or major changes it'd be tough
All that aside, I have heard reports that Microsoft are talking with Twitter about how integration could work in the future.