Before Shenmue 2, Sega was figuring out their new "platform agnostic" stategy, and deciding what series would go where. Sega commented that they felt the Shenmue series would be a best fit on the GameCube. But then Microsoft paid Sega to make it for the XBox, and even paid them to cancel every other version, including the American Dreamcast one.
One of Microsoft's head up's (I don't remember exactly who) recently mentioned what everyone suspected was true. When a company buys the exclusivity of a game, they have to pay more money for it that the maker could possibly have earned on all the other platforms combined.
He mentioned that it's extremely expensive (even when the game is a success, which as far as I've heard, Shenmue 2 wasn't), and that Microsoft wasn't looking to be doing it any more, now that they're semi-established.
Considering that the XBox already has Shenmue 2, and it came with "Shenmue: The Movie" as a kind of recap of Shenmue 1, the only reason AM2 would want to include 1&2 with number 3 would be if it's going multiplatform.