Very straightforward reason: less capabilities for naughty executables to "live off the land" from.
Kind of like the sysadmins removing any scripting languages and compilers from servers to avoid giving rogue processes any leg up.
It's legitimately making it harder for baddies to exploit a way in.
...Though it's never been easier to package your own interpreter (micropython or equivalent), so I don't expect it slows people down much.
In the mindset of MS: legit devs should package their own tooling, and baddies shouldn't get the freebies.