As far as i can tell, no. But MS was part of E3 when Nintendo and Sony revealed Wii and PS3 at E3 in 2006. The same for Sony in 2001 (GC and Xbox), i believe.
The smaller the presence in situations like this, the worse for the one who does things without a bang.
The question would now be how memorable they were when they had no console to show... I honestly don't know and to be honest I would like to have a standard E3 conference as well, but at the same time I don't have the required knowledge to question their decision.
I just thought of that: do you think they may be holding a small conference to make people curious about what's going on, raising the hype level because of the mystery they created? It's a commonly used method to advertise (take viral websites as good examples of it). What do you think?