That's because it's not mass storage. WinMo phones appear as network devices. When you access the filesystem, you're doing do via some network protocol (webdav?) - it's just support is built into windows to make this seamless.
Totally correct. For all intents and purposes though it does acheive the same effect. My phone and I'm sure many others can provide direct access to the SD card at least via a program called WM5torage. In that case it does appear as a mass storage device but at the same time also prevents the phone from accessing it any more mentioned. Since it's significantly faster it's good for loading up a large amount of data.