Microsoft themselves regularly manages to release applications that are not using the "best practices" that Microsoft describes.

Before Unicode, Microsoft told about characters in file names - an application should assume all characters as valid unless explicitly forbidden. That meant Excel, Word etc showed black boxes for a lot fo Swedish national characters.

This type of oops has continued to this day.

One of the biggest reasons for the Microsoft warnings is that their driver model is horrible. It is very hard to write a correct hw driver for Windows. And when the driver isn't correct, you are likely to get a blue screen and blame the OS as unstable.

Another big reason for the Microsoft warnings is that M$ has managed a large number of security holes. They are probably a bit scared that all the third-party applications will better expose some of the still not known security holes.