I imagine it has to do with Microsoft wanting you to buy Outlook instead, which has it built in. along with a bunch of other calendar and appointment systems in it.
Besides, there' s probably no room for an alarm clock after they got done with all the other needless features added to XP (and other windows varities) that many people don't need. For example, why does a bank tellar's computer need internet explorer, and media player? You cannot un-install these "features"