.NET is Windows-only, which is a significant limitation compared to the JVM. I don't think better performance on Windows -- even assuming going to CLR instead of JVM would provide that -- is a good reason for Scala to move to the CLR as the primary target.
I understand your point. Consider this: using Xamarin you can get native performance on iOS and better-than-Dalvik performance on Android. Is there a good tool chain for that in JVM/LLVM world that supports Scala?
"Better than Dalvik" isn't necessarily a compelling selling point looking forward, since Android is almost certainly going to moving from Dalvik to ART as the default runtime fairly soon.