Clustered Index Scan (Clustered) vs. Index Seek (NonClustered) + Key Lookup (Clustered)
Because the majority of the table fits the criteria for the first query, so it is more efficient to scan the clustered index rather than do key lookups for each of the rows that match the criteria.

Key lookups are expensive, and so are usually only used when a small percentage of the table fits the WHERE criteria.  Once the query returns a certain percentage of the table (AKA The tipping point) the optimizer falls back to a  Clustered Index scan, as that is the more efficient plan.

See Kimberly Tripp's blog post about The Tipping Point