Well, because they should and rightfully so. You shouldn't have to select a language every time you start an app. Instead it should use whatever language was set on your system. Anything else just isn't intuitive and would add more friction before a user could get anything meaningful done.
The parent comment was referring to Cortana only working with English and thus assumes the user can't speak English as he has his system set to Spanish. That's an unfortunate edge case but one that could be overcome with advanced settings should they want to deal with it. But again, the anecdote is an edge case and shouldn't be used to go against best practices in regards to localization.