The solid structure of cheese helps prevent steam loss
Water absorbs microwaves well, primarily at the boundaries since the water at the boundaries absorbs most of the microwaves before they get deeper into the body of water. If you heat water alone, its boundaries get most of the heat; then, steam can escape, causing much of that absorbed heat to be lost. This results in a powerful cooling effect called evaporative cooling.
Evaporative cooling is an important effect in microwaves. For example, if you get a microwavable dinner, it'll often tell you to cut a slit in the overwrap without actually removing the contents. The slit allows steam to escape a bit so that pressure doesn't cause the bag to pop, but it still keeps in more steam to help retain heat. This reduces evaporative cooling.
Cheese's solid structure should have a similar effect. This is, the water isn't free to just escape as steam, so the heat it captures isn't so easily lost.
Not really about fats and water working together
The currently up-voted answer asserts that cheese and fats work together using their differing levels of microwave absorption and heat capacity to warm up faster than either alone.
Unfortunately this can't be true because it's an entirely first-order mechanism. Fats and water would both heat up at some rate proportional to the microwave absorption divided by their heat capacity, i.e. $$\frac{\text{d}T}{\text{d}t}{\propto}{\frac{\left[\text{absorption ability}\right]}{\left[\text{heat capacity}\right]}}$$ If you combined them without a second order effect, then their combined absorption ability and heat capacity are both a weighted average of the pure values for each, i.e. 815
$${\left.\frac{\text{d}T}{\text{d}t}\right|}{\text{cheese}}{\propto}{\frac{{x}{\text{water}}{\left[\text{absorption ability}\right]}{\text{water}}+{\left(1-{x}{\text{water}}\right)}{\left[\text{absorption ability}\right]}{\text{fat}}}{{{x}{\text{water}}\left[\text{heat capacity}\right]}{\text{water}}+{\left(1-{x}{\text{water}}\right)}{\left[\text{heat capacity}\right]}{\text{fat}}}}$$ Then, let's assume that absorption ability and heat capacity are constant for both fat and water (which isn't really true, but a reasonable simplification). Then, regardless of the actual values for the absorption abilities and heat capacities, there is no combination that can outperform both pure substances. If both pure substances heat up exactly as fast, then their combination should do the same. But if one heats faster, then the more if it the combination has, the faster the combination'll heat. This is, if we optimize ${x}{\text{water}}$, we'll necessarily find either ${x}{\text{water}}=0$ (pure fat) or ${x}{\text{water}}=1$ (pure water) as the optimal solution.
When a combination works like this, there must be a higher-order effect at work. In this case, I'd suspect that the most important higher-order effect is that cheese traps the steam, such that the water molecules that happen to trap the most heat don't just fly away.
Not really about boiling points
Some have pointed out that water boils at ${100}^{\circ}\text{C}$, so the fats might assist by being able to be hotter. As <PERSON> pointed out, this isn't really relevant because water isn't bothered by this until it actually hits its boiling point of ${100}^{\circ}\text{C}$.
If you're microwaving your pizza to be that hot, then you're drying it out. This YouTube video shows a guy putting a cup of water in the microwave with his pizza to help keep the crust crispy:
* Pizza Reheat Microwave Tip. How to Get Crispy Crust on Leftover Pizza in 30 Secs by Chawla's Kitchen, Chawla's Kitchen on YouTube. 273