I opened a support ticket with Microsoft on this and had my worst suspicions confirmed. IIS 7.5 deliberately prevents the connection:keep-alive header from being returned in the response. Per the HTTP 1.1 RFC, all connections should assume keep alive (a departure from HTTP 1.0). Therefore, the omission of this header is the default and correct (?) behavior. When keep-alives are not desirable, IIS will send the connection:close header.
HTTP/1.0, in its documented form, made no provision for persistent connections. Some HTTP/1.0 implementations, however, use a Keep-Alive header to request that a connection persist.
In recognition of their desirable properties, HTTP/1.1 makes persistent connections the default. HTTP/1.1 clients, servers, and proxies assume that a connection will be kept open after the transmission of a request and its response.