Users should have the option of choosing or not choosing to use a locked bootloader. For some users, the benefits of an unlocked bootloader exceed the costs of not letting Microsoft handle "security" for them.

If a company is selling hardware, why should it matter what the purchaser does with it afterwards?

For the answer to that question, we might ask Apple.

Whatever the answer is, it is certainly not "for the security of the user" if the user explicitly wants to install their own choice of OS.