Because you are supposed to bake it in a very hot oven - 200C + . I can't even imagine what sort of gungy mess would result from trying to cook it in a microwave oven.

Well Pete, the hot oven part is mainly to get a crust. It is optional. Some MW bread recipes (check on line; there are millions of hits -- surrrprise!) suggest finishing it in a normal oven if you want a crusty loaf.

BTAIM, I thought that the question might refer to heating already-made bread in a MW. That sometimes causes sogginess as a result of redistribution of the moisture in the bread.

Mind you, if you use a MW for making rusks by drying out bread or buns etc, you can produce a material that you could build houses with. Not a sog in sight. Water-repellent yet! It was one of my earliest experiences with our first MW.