Why has Microsoft never implemented a loopback interface in Windows?

Historical reasons. From the ground up unix/linux has always been about the network. Whereas MS-DOS/Windows bolted the network on as an afterthought, initially with Windows own 'NetBIOS' rather than TCPIP.

Only when Netscape came along was it necessary for Microsoft to install a TCPIP stack and acknowledge the presence of the Internet. Before then you had to put your own stack together for talking to unix machines, paying handsomely for the privilege.

I hope this historical context goes some way to helping you understand why it is that MS-Windows is not really there yet when it comes to proper networking. To take a car analogy it is a bit like asking why motorbikes don't have four wheels. (Yes, that is a very poor analogy...)

Before it became important to get online there were many LAN protocols - DECnet, Token Ring, Novell stuff and Microsoft's effort that came with Windows 3.11 - only true experts could get these different boxes to talk together and networking was a truly dark art.