Yeah we did. It's possible to do, of course, but like you say there would be some work at the transitions. Although you could avoid recreating the httprequestmessage multiple times, that still leaves concerns: you'd be creating a hreqmsg for calls that don't otherwise need one, and the httpresponsemessage doesn't really work with the idea of writing output directly.
There were also concerns they had beyond perf with that idea... One would be if you took an arbitrary message handler and put it in an owin pipeline you couldn't guarantee there would be no quirks, bugs, or differences that pop up... The other is that it could cause confusion - there is an existing Web API pipeline for message handlers - adding them at a different layer being a redundant and less recommended way of doing the same thing.
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