Combining local and web search
It's all about extracting data from you. With a combined search, when you type "Adobe Photoshop" to launch a local application, the characters get sent to Microsoft. Information about your installed applications, contacts, email searches, etc., will all be sent to Microsoft.
This is valuable and personal information. So valuable, that it is the same reason why they don't want that information being sent to Google or anyone else.
The unified search and address bars in browsers was all about slurping personal data too. Before combining them, if you were typing in the name of a locally saved bookmark, or entering a URL directly, that information wouldn't find its way to Google. By combining them, Google has an excuse to monitor everything you type.