Not so. It can point to WMA. They should support ASX redirectors as this is how most sites invoke WMA playback quickly. Also to note:

Microsoft Knowledge Base Article - Q284094
The Difference Between ASF and WMV/WMA Files

Summary
The only difference between ASF files and WMV or WMA files are the file extensions and the MIME types. The MIME type for a WMV file is video/x-ms-wmv, and for WMA it is audio/x-ms-wma. The MIME type for ASF is video/x-ms-asf. The basic internal structure of the files is identical.
More Information
The change in extensions was made to make it easier for an application to identify the content of a media file. A .wma file extension designates a file containing only audio. A .wmv extension designates a file containing both video and audio.

Supporting ASF files should be a no brainer too then. Its pretty silly that they implemented WMA playback but not understand what an ASX file is. Of course I'm assuming that they can handle streaming WMA in the media player - which it looks like they can't because of this.