I would honestly rather Microsoft work directly with Intel/AMD/Nvidia to make a chip. I don't generally like Apple's direction to make the chips in house, and not sure I want Microsoft going the same path.
However, it would be a terrible move for interoperability. OEMs would be inclined to purchase Microsoft's chips (MS's vertical integration would mean that their chips would outperform the competition when running Windows), and Microsoft could in turn restrict their chips to the Windows operating system.
How much performance do you get by taking, say, code originally written for a 10-year-old compiler whose default target was vanilla i486, and build wuuth a recently built compiler? I'd expect wins from targeting a more modern instruction set, plus 10 years of general "we've learned more about optimization".
Microsoft can't do that without an architecture change, and if they do that, they're basically abandoning their primary push to consumers: your established software and workflow investments are no longer safe on Windows.
Also, the main motivation is the cost. Any other vendor would want the highest profit out of their design.