We're not Microsoft, but here's why I think there's no vibrate function for alarms:
Alarms usually go off around eight hours after a phone's last charge (based on the average/recommended number of hours for sleep, and that a phone shouldn't be left charging overnight with the phone beside the person to avoid unwanted electric shocks). The electric motor used to make an eccentric weight rotate causing the vibration consumes a lot of power. If the alarm goes off with the vibrate function on, the phone would start to lose the remaining power it has (after the eight hours of standby). This may work if the person easily wakes up, if the person doesn't use the "Snooze" function and if the battery is still new. Once the battery ages, and if the person is fond of the Snooze function, the chance that the phone would simply die becomes higher with every Snooze, in addition to the number of other factors that may start draining the battery of the phone even before eight hours are up - therefore risking not waking the user up at all.
The user would rather have a persistent noisy alarm, rather than an alarm that would stop ringing after a few minutes.
P.S.
This goes the same in case the vibrate function is already available.