Pretty simple really.
Having an integrated browser would mean that in order to use it effectively, you'd need a mouse and keyboard. Users are gonna get miffed in having a computer with a mouse and keyboard and if it is intended to be an integral part of the home entertainment centre, having a mouse and keyboard dangling about near the TV box is gonna upset a few people.
As for *** browser software itself, MS are obviously gonna use their own, and whilst I'm a big MS fanboy, gotta say that from a practical end-user and as a developers point of view, it sucks big time. More holes than swiss cheese, the amount of backdoors it opens up is beyond ridiculous and of course people are gonna be a wee-bit wary of buying something that has IE built in given the reputation of IE of late.
Plus of course it'll need some kind of Windows kernal to run, which would up the price of the console for licensing fees and of course raises the concern again over security flaws, how to update it, etc, etc.
So no, not a silly question, but I think MS are wise not putting browser support in.