Why do microphones have a sponge on the end?

Not all do. It'll be there to reduce wind noise and accidental bangs and clicks caused by the thing coming into contact with someone's face. Outside use microphones need protection from winds blowing across them, making unwanted noises, but microphones fixed in a concert hall don't need this.

Windscreens--These foam socks fit over a microphone and absorb the sounds of air moving across the mic so that it is not picked up and does not create a static-like sound. These are mainly used on moving coil and printed ribbon mics and some capacitor mics, mostly of a directional nature. They do not work well on ribbon microphones because they distort the sound.

https://en.wikipedia.org/wiki/Microphone#Microphone_windscreens

The sponge is a windscreen to diminish the harshness of certain consonants like p and b.

It is a "pop shield". An old term I recall from my days of audio recording.

A pop filter or pop shield is an anti-pop noise protection filter for microphones. It serves to reduce popping and hissing sounds in recorded speech and singing.

A pop filter is normally composed of an acoustically semi-transparent material such as woven nylon stretched over a circular frame, and often includes a clamp and a flexible mounting bracket. A cheap pop shield can be made from material from tights or stockings stretched over a piece of wire such as a bent coat hanger.

Popping sounds occur particularly in the pronunciation of aspirated plosives (such as the first 'p' in the English word "popping"). Hissing sounds or sibilance frequently result from the pronunciation of fricatives such as the 'sh' in the English word "seashells". Pop filters are designed to attenuate the energy of plosives, which otherwise might exceed the design input capacity of the microphone, leading to clipping.