Why doesn't a microwave heat the air around food, in addition to the food itself?
With all electromagnetic radiation, including visible light and microwaves, absorption depends on the molecules doing the absorption.  Air is mainly oxygen and nitrogen, and these don't absorb very well at the 2.4GHz frequency used in microwaves, while foods do.  A lot of this is down to the very efficient absorption by water, and almost all foodstuffs contain a fair amount of water.
Note that the air does warm up with heat from the food.  For short cooking times this isn't a big effect, but for things that cook longer it's significant