Why windows went for so long without Virtual Desktops?
Windows had Virtual Desktop support in its API since at least Windows NT 41. There were multiple 3rd-party programs that made use of it, although some resorted to hiding/showing windows and keeping track of the desktops themselves.
As for why MS never included such a tool, I can only speculate, but is that something you'd sell the average customer and he'd be like "Oh gosh, I really can use this"? Heck, even I as a pretty computer-literate user never got used to multiple desktops. I simply doubt it'd be a feature the majority of users would want and/or use.
Also, not including such a tool should definitely cut down on the "Where are my windows gone?" questions the support people have to answer.
1 I am only talking about the NT line of operating systems, as the API on Win 9x was very different and much more limited.
As someone pointed out, the API to support this feature has been around since the days of WIndows NT.
However, Microsoft did implement virtual desktops themselves, since at least the launch of Windows XP. It's an optional Windows XP Powertoy download called Virtual Desktop Manager.
You can still download it at the Microsoft PowerToys for Windows XP website.
Direct download link : Deskman.exe
Nonetheless, Microsoft never promoted it and very few people know about it until this day. I've used it for a couple of years when I was using Windows XP and it was pretty good (and free too).
Update (since the questions has changed): Last year, the Microsoft Sysinternals team released Desktops 1.0 which will supersede Virtual Desktop Manager (MSVDM): Microsoft releases Desktops, new virtual desktop manager
Short of getting hold a Windows program manager to tell us the rationale, I guess we can infer from the release of MSVDM as a Powertoy and now Desktops as a Sysinternals tool that Microsoft thinks that virtual desktops are only of interest to, or suitable for highly technical users. Microsoft describes its Sysintersnals as targeting the "IT Pro or a developer".
Another Update (As Of 2015) In 2015, Microsoft released Windows 10 and if you type [Win]+[Tab], it will bring up an [Alt]+[Tab] like menu, but at the bottom-right of the screen, it says "New Desktop", and if you click it, a new desktop will open, but you can break it by adding too many Virtual Desktops. (It depends on your CPU[Most likely 150])