For one, they are bitmap fonts, based on what you'd usually see in video hardware ROM. Using a thinner font would cause DOS applications (the first, and main thing you'd run in a DOS box) to look really bad. Remember they would use things from the (character set)[http://en.wikipedia.org/wiki/Code_page_437] to do windows and such in text video modes.
In the current day, the non-bitmap fonts such as Consolas don't translate well when using things like RDP or other remote tools. Partially because you lose things like font smoothing which make them more readable and partially because of compression artifacts obscuring characters.
Almost all Linux distributions without an Android userland have a nice selection of bitmap fonts that are noticeably thinner. I've never noticed ill effects in curses applications.
Your last sentence is confusing to me. RDP supports ClearType, and lossy compression is disabled by default (and only arrived in what, 2008 R2?.)
In the current day, the non-bitmap fonts such as Consolas don't translate well when using things like RDP or other remote tools. Partially because you lose things like font smoothing which make them more readable and partially because of compression artifacts obscuring characters.