I reckon this appointment actually makes a bit of sense for both sides.
He'd probably have been a disaster if a Premiership side did actually take a punt on him - clearly doesn't have the experience to jump into that right away; and equally clearly is too arrogant to start lower down the pyramid and actually prove himself.
The Wales job, however, satisfies his ego and gives him a chance to prove he's a competent manager.
From Wales' perspective, they're probably not going to get anyone great for the role anyways; at least by taking a punt on Giggs, there's a chance he's going to turn out to be a good manager. And, frankly, how tough a job is it? Six times a year or so, you get to take charge of twenty or so mediocre cloggers, and you've got to devise a gameplan so that they get the ball as quickly and efficiently as possible to Gareth Bale.