No, there aren't hard rules against it. Practically, however, it's not very useful to use a non-Windows OS depending on which team/product you're working with.
For instance, Macbooks are really common on some apps teams. In contrast, I work on the OS itself, so tools such as WinDBG and Hyper-V are essential to getting work done.
Though I'm sure you are not the only Microsoft employee who has used OpenBSD.
At one point, after the Danger acquisition, Microsoft HR was advertising a position for a NetBSD developer.
Are there any rules about using a non-Windows OS in the office? Even if it increases your capabilities and productivity?