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I don't think they could afford to bundle Natal with the Arcade for $199.

If rumours are to be believed (that Natal requires a HDD), then the Arcade model would have to be revised with the inclusion of a hard disk, and as such Microsoft would be adding the cost of that and the cost of including Natal onto whatever it currently costs to manufacture an Arcade, and I don't think that would be particularly financially healthy at the $199 pricepoint.