This is correct. The sink rate warning does give the "pull up" command, but windshear does not. The reason is that the proper response to a windshear alert is the application of thrust to avoid a stall; entering a microburst, you get an increase in airspeed followed by a decrease in airspeed upon exiting. The natural response to the airspeed increase is a decrease in thrust, which is what causes the stall upon exiting. Pulling up without increasing power exascerbates the airspeed decrease. A relatively readable NASA description of the phenomena is here: http://oea.larc.nasa.gov/PAIS/Windshear.html