If you connect your phone to the PC and browse the folders you will find that on the phone there is a documents folder, but not on the card. I take this to mean that the phone only looks for docs in the phone, and not on the card.
One thought on that as far as a reason... The phone can be encrypted, and no one can get to your documents. Also, the phone can have a pin-code set, so they would have to have that to unlock the phone to see documents. But if documents were on a card, they could just take out the card and see whatever is there.
Did Microsoft do this for security reasons? That is my guess.