Photons are not a universal substitute for classical electromagnetism. Both descriptions are valid and suitable, each in its own restricted domain. Photons are meaningful when the fields are weak and the energies high. This is not the case in a microwave oven, where we still use electric and magnetic fields obeying Maxwell's Equations.
The fields are confined to the interior of a microwave oven by a metallic mesh (size about 1 mm) that covers the walls and door and reflects the microwaves.