Why do microwave ovens, with metal walls, not blow up?
Metal in a microwave is really not a big problem. The walls of every microwave ever made are metal, the window contains metal mesh, mine has a metal shelf and a metal base for the turntable.

The general guideline of "do not put metal objects into a microwave" does make sense - metal in the oven has to have a certain shape, size, alloy, distance from other pieces etc. or it will really do unpleasant things like arc and get dangerously hot. The rules are complex and as the average microwave oven owner doesn't have a post-graduate degree in physics with at least a minor in high-energy radio it's just easier to say "no metal."

People who really do know better will also know that they can ignore the note on the box, but the lawyers can point to the note on the box after your attempt to home-sinter aluminum powder burns the kitchen down.