Maybe. It's not like they didn't turn around shortly thereafter and launch their own console, likely incorporating lessons learned from their Dreamcast work.
Indeed, from the Wikipedia, article, MSFT had a fork of the OS to run DirectX games on it "Microsoft developed a custom Dreamcast version of Windows CE with DirectX API and dynamic-link libraries, making it easy to port PC games to the platform,[31] although programmers would ultimately favor Sega's development tools over those from Microsoft.[28]"
https://en.wikipedia.org/wiki/Dreamcast