In addition, MS was quite happy to ship advanced but dangerous features to customers only hidden behind user-accessible plain checkboxes. One example that comes to mind is the "DMA" checkbox in the IDE controller settings page. Guaranteed to corrupt your data and render your system unbootable on certain hardware (likely a worse scenario than anything HLT could potentially do to you), and at most you get a warning box claiming this may happen when you enable the checkbox.
Most likely, MS knew it was trivial (due to the design of DOS-based 9x/ME) for a 3rd party to ship either a utility or even a BIOS addition to do HLT-on-idle (and in fact, most laptops would do so in their APM BIOSes), so the problem didn't appear to them to be significant at all (and, frankly, really wasn't a significant problem at all). Not so much for e.g. DMA which would require a new driver replacement.
For me, the fact that Windows 95/98 can't use the HLT instruction is a reason why I wouldn't use these legacy operating systems to run older software. Not that many programs ran on Win95/98 but not on Win2000. Perhaps except for DOS games, which are better served by DOSBox.