Microsoft wants their firewall to protect against incoming attacks since that’s where most bad things happen and they don’t deal with outgoing because that makes it easier for the great majority of people to deal with it. Many applications need to have outgoing access to get updates or in some cases, to even function properly. Having to allow connection for everything is too much for a great number of people to deal with.
When you really think about it, if you have to worry about outgoing traffic, you’re probably already infected and it’s too late anyway. I have reverted to using the XP Firewall and so far I’m satisfied. I’m also behind a NAT router which handles most of the unsolicited incoming attempts anyway.