Money. Microsoft lost billions on the Xbox and Xbox 360 before turning a dime in profit. If SEGA did what MS did, even in it's prime, SEGA would no longer even exist.
If SEGA even had half of what MS lost on the Xbox and Xbox 360 when they released the Dreamcast, they would probably still be a console maker. At the very least Dreamcast would have lasted a heck of a lot longer.
Also, Sonic is still in million selling games, he doesn't need to beg ;).