I'm going to try and take a stab at answering this one. For whatever reason, when MS was developing WP7, they did not include support for REMOVABLE memory cards. Some WP7 devices do have a memory card slot, But it requires reinstalling the OS on the phone and the memory card becomes a permanent fixture from the perspective of the OS. Also, there are a couple of threads on these forums about comparability issues with many of the available memory cards.
Luckily, WP8 supports removable memory cards and hopefully we will see many, if not all (crosses fingers), WP8 devices have them.