It's not their problem most of the time, it's 3rd party apps and drivers. They do however have various levels of tests and certifications for both apps and drivers, some of which focus on energy efficiency.
Microsoft has a certfication programs. Sadly, those programs are notoriously weak (see the outrage about "Vista certified" machines not actually being able to run the hardware accelerated desktop). This was done to please hardware manifacturers and allow them to put new hardware out quickly. Applying pressure here and denying certification to drivers not implementing power features properly would have been the way to go.
Microsoft does have leverage, they just didn't use it for a long time to allow for a quantity over quality approach.
Microsoft doesn't have much leverage because the US Justice Dept sued Microsoft to enable OEMs to do almost anything they like. The "Vista certified" debacle showed just how little leverage Microsoft had.
And with OEMs shipping flaky, crapware-loaded PCs that took several minutes to boot, I don't expect power saving was Microsoft's biggest concern...
