I think the most compelling reason Microsoft might "give up" on Japan next generation is more broadly strategic than a simplistic answer like "it's hard to sell there:" I think both Microsoft and Sony are reconsidering the living-room-entertainment-hub philosophy.
I've mentioned this several times before, but it seems pretty clear that both Sony and Microsoft were hoping for a facsimile of the Windows monopoly with the Playstation/Xbox, except in people's living rooms. Your games, movies, music, etc. would all be streamed to your living room through a gaming box controlled by them. That's the most rational explanation for why both companies would be willing to bleed billions of dollars to stay in this market -- they think there is a pot of gold at the end of the rainbow.
But two things have happened; first, it's no longer clear that anyone will ever really hold a "monopoly" in the games industry, as the Wii's dominance over the PS3 has made it unclear if anyone could ever really maintain market control for generations on end; second, even if this entertainment hub monopoly does coalesce, it's looking increasingly unlikely that the "winner" will be a home gaming console. Apple and Google are way ahead of both Sony and Microsoft in the "entertainment hub" market now, and took totally different approaches to get there.
So if the long term future of home consoles is in doubt (again, not that they're going away, just that they aren't leading to an entertainment-hub-monopoly-in-your-living-room), this has important short term strategic consequences for Microsoft. If you believe that, long term, you can accomplish a Windows-esque monopoly through extreme market power, then spending money in Japan makes sense. You'll need Japan if you want that sort of monopolistic leverage over the market more generally. However, if that isn't your long term plan anymore -- if there is no pot of gold at the end of this rainbow -- then your short term plan changes significantly. It no longer makes much sense to bleed money in a market just to establish market power.
I'm not saying this a foregone conclusion. I'm simply saying it's a possibility, and one I've seen some evidence for, given the recent statements and general positioning of products from execs at Sony/MS.