Coming out with their own unsubsidized device would mainly be a PR move. But it might be a good one.
If the carriers, like AT&T, are really messing with Microsoft by using loopholes in the update agreement by just testing forever, then Microsoft will need to respond in a way that shows they are in control and have the needs of consumers as their top priority.
Apple gets what they want from carriers because they have consumers on their side. Apple bullies carriers because consumers know that Apple wants to deliver a quality product to them, and that Apple won't let carriers stand in their way.
If Microsoft could give that impression to consumers, then maybe Microsoft will see that they have more clout in the mobile arena than they expected.