Compatibility and familiarity most likely. Server cuts pretty much everything that wouldn't be used by a role such as remote desktop host, what you see left is what is actually used in real world cases. In the particular case of links to Videos/Music the remote desktop host role would need to support them. I mean yeah they could dynamically add the links based on use case discovery of which roles that need them... or they could just include the default explorer profile and nobody really cares that the links are there as they are on every other Windows install.

Now when it comes to things meatier than a few shortcuts they are much more willing to go modular. See nano server.