The Muay Thai roundhouse kick is one of the strongest turning kicks one can get. It utilises lots of torque and momentum and hits the opponent with the hard lower shin. Many people think that the difference between the Taekwon-Do turning kick and Muay Thai's roundhouse kick is the attacking tool: Muay Thai uses the shin, while Taekwon-Do uses the instep or ball of the foot. This is not the difference. In Taekwon-Do one can use a variety of attacking tools for the turning kick: the ball of the foot, the instep, the knee, and yes, even the shin. The real difference is actually in the follow through.
In Muay Thai one puts everything into the attack to such a degree that you seriously risk being unbalanced should your kick miss its target. There is no doubt that when one does hit the target with the Muay Thai roundhouse kick, it is extremely effective. However, if you miss you will, at worse, be off-balance, or at least, turn your back to your opponent.
In the tutorial above you will notice how the Muay Thai roundhouse kick is practised against a heavy target -- the practitioner relies on the target to stop his technique. Without the target, the practitioner rides the momentum of the technique and literally has to turn around, you can see this in 1:05 to 1:14 in the video, and again from 2:22 where the narrator admonishes that "when shadowboxing, make sure to kick all the way through."
ITF Taekwon-Do, however, prioritises balance. Maintaining balance (both static and dynamic balance) throughout our techniques are a fundamental principle in Taekwon-Do. To ensure that we maintain balance we actually retract the kicking leg after it penetrated its target. It should go through the target, but not "all the way through," as with the Muay Thai roundhouse kick, and so forcing you to turn your back to your opponent.
Notice how instructor Mark Miller retracts his leg after hitting the target -- even after breaking the tiles. This is quite different from the Muay Thai roundhouse kick.
In ITF Taekwon-Do one would only turn all the way through if you are following your turning kick up with a reverse turning kick (or similar kick) with the other foot.
To summarise, part of the reason we do not kick all the way through, is to ensure that we don't overreach and so lose balance or turn our backs on our opponents as a result. I would agree that it is less powerful than Muay Thai's sacrifice roundhouse kick, but for a self-defence scenario where losing your balance or giving your back is detrimental, a more conservative kick is preferred.
So how about kick-boxing's roundhouse kick? Kicking techniques in kick-boxing was heavily influenced by Taekwon-Do so it ought not to come as a surprise that many kick-boxers also pull the kicking leg back after the kick, instead of potentially sacrificing their balance by over reaching, as world champion Steve Goin demonstrates:
Dan Djurdevic recently wrote a very good article in which he explains the same principle of conservative attacks, rather than sacrifice attacks, in his post, Stopping Strikes at a Predetermined Point, with some videos of fights that illustrate his points.