If they had included a built in ARM CPU it would have been quite the device...
It's far more efficient to use a portion of the console's GPU resources for this. Those sorts of algorithms tend to be very GPU-friendly. ARM CPUs have compute power in the single to low double-digits of GFLOPS - the XBox One's GPU is 2-3 orders of magnitude faster, depending which we're talking about. Plus, if you want a respectable amount of processing power, you need reasonably fast memory - all of which adds yet more cost to the device.
MS approach to their HMD design follows the same philosophy as Kinect - make the accessory cheap (i.e. no external cameras) and make up for it with more processing in the GPU. Even so, their GPU requirements for VR are the most modest of any PC VR solution.
unless of course it was being used for VR tracking. It would have been fantastic for that
According to the father of Hololens, the Kinect came from the same overall roadmap that featured Hololens. That means they're very much considered in the same universe. MS could do a lot with it, but it largely depends on the world embracing their vision of mixed reality computing.
I wonder how many patents Intel has to license from Microsoft to build these cameras
FWIW, MS didn't build the original kinect from the ground-up. They integrated some 3rd-party sensors already on the market.
Anyway, I suspect Intel's camera is mostly aimed at robotics applications. People have used Kinect for that, as well.