I would guess that it was specifically made for the "user" population that did not want to hack. By having no shell to fall to, a player application error would simply restart the player application. Granted - this could lead to the boot loops that we see with bad files, etc. But for a user with no idea about computers (and no desire to find out), this could be a self-protecting feature for the mass consumer.
Granted, hindsight shows a rather small mass consumer market for the empeg (and similar devices). But if it ever had caught on to the scale of the iPod (random example), you would want to have that kind of self-healing feature in case of crashes, while, uh, locking out those who have no business in shell.
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Paul Grzelak
200GB with 48MB RAM, Illuminated Buttons and Digital Outputs