Apparently the original poster is correct and the 2005 version needed the PSDK for native win32 compiles. But this is no longer true for VC 2008.That just means that the "complete" set of windows libraries are in the PSDK. VC Express itself is sufficient to build native windows binaries. But if you want to code for things like WMI, ISAPI, etc, then you need the PSDK.
But there is another reason to use the Platform SDK: the Platform SDK compiler is a full optimizing compiler, including Profile Guided Optimization (PGO). Properly used, it will produce executables superior in execution speed to the compiler available in VC Express, which lacks PGO.