I don't want tracking cookies sitting around on my system that allows advertisers such as Doubleclick to collect information about me and use it to further target advertising toward me. There's already so much advertising on the web that I take great pains to block out of my browsing experience, the last thing I need is for companies such as Doubleclick to try to target more to me. There's plenty that sites can do to get your personal information from tracking cookies that do not require "corresponding application[s] running [on your computer]."
The fact that MS Anti-Spyware doesn't delete tracking cookies puts it at a huge disadvantage with its competition. If you like having your Internet experience cluttered with spam and targeted advertisements, more power to you. But that does not mean that the software shouldn't give me the option to remove that from my experience.