Not at all surprising, since OE is not officially part of Microsoft Office Suite, but Outlook is, which is why Word accesses Outlook Address Book/Contacts instead.  Nonetheless, it doesn't make a lot of sense to leave out Windows Address Book support, but my guess is because WAB doesn't support MAPI, which is also why some people are reporting problems with Windows XP fax service not being able to access the fax numbers stored in WAB.