Windows is a Microsoft platform, so MS have an interest in putting software exclusively onto it (as opposed to just via steam etc.)
If you're already paying to develop high end software, why not put it on both?
It wouldn't surprise me if sony ended up doing the same if it looked like the extra software sales justified it.
Games aren't cheap to develop anymore.
Windows isn't a Plataform, the Hardware is a Plataform and because of that Windows 10 is in Different plataforms, Putting their games on Steam would be the same than putting their games on their "Plataform" they would just need to pay some money for Steam.
OS isn't a Plataform and if Sony or Nintendo started to use Windows on their consoles this would not means that they are "Microsoft exclusives".