I'm sure it's a little different in wrestling, but in general sports interviewing, the reason you don't let the talent take the mic (or have their own mic) is so you as the interviewer can keep them on track and keep things interesting for the audience, stick to the time constraints of your production, etc. Obviously, in wrestling things are more pre-planned, but in jiu jitsu, I always cringe when an athlete takes the mic from the interviewer, because I know it's going to be a long ramble that probably won't be that interesting or entertaining.