For the same reason a bicycle tire pump gets hot when you press the handle down. The molecules bounce off the outside layer the hardest. The pump uses air molecules and microwave uses water molecules. Imagine a tennis ball going through the air. It is loosing momentum to heat and drag. But when it hits the wall most of that energy is changed all at once and it doesn't bounce back near as hard. But you can add energy by hitting it again. If you could speed this up and hit all the area of the wall over and over the wall would get hotter than the air between you and the wall.