Because they don't think it's worth it to port their whole Xcode development environment to Windows? It's a heavy user of Cocoa and much Mac OS-specific technology.
Because they want to (as a side effect, which can only help computer hardware sales) expose developers to a much more pleasant OS environment?
Because the cost of a Mac ($2K for a very capable 24" iMac) is nothing compared to the earning potential of a serious iPhone app?
Just to nitpick, you can actually go on all you want, and most, if not all, of your reasons, remain speculative. A windows-based dev environment would seem like, at least at face value, a shrewd strategy (of course I am disregarding all maintenance costs for spreading apple's competency across multiple platforms).
But when they switched to intel, everyone knew it was a good decision. If they didn't switch, Apple would still be alive today, and you can give another list of reasons for not switching. Can't tell for sure without a time machine.
The fantasy is tantalizing though, and very much so. That alone is disappointing.
Yes, they could port most of Cocoa to Windows just so they could run Xcode, but do you think that would be cost-effective for them (dozens and dozens of man-years they don't really have)? The lack of a Windows development environment doesn't seem to be costing them any serious developers for now, at least.
So that reason doesn't seem very speculative to me.
Personally, I think it's one of their core strengths that they stay focussed on what they do well (development under Mac OS X), and not try to spread out too thinly when they don't have to (clearly, they had to for iTunes; Safari's a longer shot). It might look like arrogance to you, but it might just be good sense given limited manpower.
And I don't think it's speculation to say that $2K invested in a blazing fast development machine like a 24" iMac (you could also do it for less than $1K with a Mac Mini, which works just fine) is easily recouped, if you're serious about shipping an app. Even a decent $5 app that's not a flashlight should be able to sell more than 400 copies in a market of 10MM right now, moving quickly to 25MM and up.
Maybe you're missing the point, however. What about the people who want to crank out some simplistic, but nifty apps which could drive further use of the iPhone, but they can't build them, because they (for some reason) can't afford a Mac. (But they have lots of available time. I'm thinking unemployed geeks, college students, etcetera)
Because they want to (as a side effect, which can only help computer hardware sales) expose developers to a much more pleasant OS environment?
Because the cost of a Mac ($2K for a very capable 24" iMac) is nothing compared to the earning potential of a serious iPhone app?
I could go on...