I guess there is the simplicity viewpoint. If people keep getting lots of popups asking for permissions for programs, they will probably get confused or a little worried.
Certainly the Windows Firewall is not as secure as a "proper" firewall program, or even a hardware solution. However, it provides a decent level of security for the masses, and many viruses would propagate much more slowly if everyone (without another firewall) were to enable it. That's why its enabled by default when you install SP2