It won't happen, MS have made a ton of money without any 'phone' device available, this mythical device is just vapourware. They don't need it, users don't 'need' one but a few people may 'want' one just for the sake of wanting one because it's MS.
I use them to receive SMS when I'm at my PC, I can also reply to them from the notification centre. Android phone linked to PC with Cortana, works really well
My desktop PC isn't going anywhere anytime soon. Android phone for when I'm not at the PC, otherwise I use the PC for everything. I can't browse the internet on a small device, except for occasional things when I'm away from the PC.