In the case of Windows keys, if Microsoft issued them as an NFT, then the only way to get a valid one would be from Microsoft or via secondary market resale.
Obviously, if Microsoft sells the key, the user paid for the key.
If the user resells the key, Microsoft can now also get paid a transfer fee baked into the NFT contract. Plus they have traceability for where every key went.
Now instead of policing secondary gray markets, they capture additional value from resales. The purchaser of the resale is 100% sure it's a valid key, and the sellers with surplus licenses have a marketplace to unload them.
The NFT in this scenario facilitates Microsoft getting paid for this trade without the trouble of setting up a secondary license trading site. As long as the fee to Microsoft on the NFT transfer is less than the 20% or so that the escrow (ebay) takes, it makes good economic sense for all 3 parties.