The program requests that you login every time.
Only if you configure it to do so. If you don't want to sign in every time, when viewing your message list press Ctrl-Shift-O for Options. On the Connection tab, click Stop signing in. You may have to sign in first to activate the Stop signing in button.
Clicking cancel lets you into the program including calendar and Contacts.
As I wrote earlier, if you don't sign in, you will load the default calendar and contacts list.
It seems that it is just an annoying routine that serves no good
It serves precisely the purpose it was designed to serve: to make available the calendar and contacts list associated with the account you sign in with. These will be synchronized with those at calendar.live.com and contacts.live.com respectively, so that up-to-date versions are available to you from any computer or other device with an Internet connection. You will find hundreds of sorry tales in these forums about users who lost their contacts lists as a result of hardware failure or other unforeseen incidents; if they had signed in routinely, there wouldn't have been a problem with lost contacts.
You must also be signed in to be able to use some photo-sharing features of the program and of Windows.