GSM is not just an order away. Do you honestly believe that? Though they can release their own phone with help, in fact they have already, it was called the KIN (That thing which they do a great job of hiding, pretending it didn't exist as part of their hardware line). They did so with the help of Sharp. I'm sure I don't need to tell you it failed. If they actually thought they were on to a winner with their own phone hardware they would have continued dumping money on it.

Without Nokia they would need to license a whole host of standard essential patents related to wireless communication standards, as well as pay for Navteq maps (which they currently do anyway).
Why do that when you can get Nokia to make your phones almost exclusively and pay you for a WP license too? Recouping some of that loss yet dictating what they can make. Seeing as their strategy now also includes low-end WP in a bid for market share (the race to the bottom which Nokia initially said it wanted to avoid) it would make sense. I guess they are fed up of paying studios to bring their apps to WP low install base.

Nokia were stupid/brave enough to take all the risk and gain very little from it. I don't know that many more phone manufacturers that would be willing to back WP like Nokia. So I think MS need Nokia now, though I'm sure that if it does fail like it seems to be then MS will try alternative agreements with other companies promising billions in transactions. That by no means is guaranteed.