I bought a pre-made cornish pasty fromt the supermarket. The packaging says it can be eaten hot or cold, which presumably means it is already cooked. But the packaging also says it "is not suitable for microwave" and recommends 22 minutes in an oven at 200Cif it is to be heated. Why can't I heat it up in the microwave?
Because it is made from pastry dough. Pastry dough (and any other kind of dough) gets ruined by a microwave. See this question for details of what will probably happen.
The only exceptions for dough in the microwave is pasta (which is supposed to be boiled in water anyway) and some kinds of very soft batter, which can be eaten immediately as a "microwave cupcake" (I think they get unappetizing if left to stay for a while). Any other kind of dough is destroyed by the water escaping the starch as steam.