I think this makes a lot of sense for Nike. A brand should own its own voice - but I think there's more to "social media" than that. The challenge is that "social media", media that engages with people, is all media.
I feel that this is a sign that brands understand that they need to have a web presence that is their own and not something that some third-party firm thinks will help get them exposure.
By bringing their social media voice in-house, I feel that they can more properly and effectively reach out to the groups that are trying to reach them. For example, they can reply on Twitter to people who ask them questions or thank people who give them compliments. It's not a huge deal, but it feels good to know that the brand cares that you care about them.
It will probably cost Nike more in the long-run, but being able to produce content for social media that they control and have every word on is important for brands these days, in my opinion.