MS also has a trump card here in the form of the Xbox, they can make their Windows stuff integrate with it very well for example allowing you to buy a game once and make it playable on both your PC and your Xbox, or to transfer save games between each etc. Microsoft can also demand Windows Store exclusivity for games to also appear on the Xbox.
As for Xbox-PC game interoperability, that would be interesting. I know multiplayer between the two platforms has been ruled out, but transferring from one to another might be attractive. It also makes you wonder why they haven't done it. Games built for the XBLA are written in XNA and can be played with minimal adjustment on Windows. But practically every XBLA-PC success I can think of (Bastion, Orcs Must Die, Limbo, etc.) has been put onto Steam. Makes you wonder why Microsoft isn't already mandating XBLA games be ported into Games for Windows Live if they go to PC.
Thanks for pointing that out. I had thought CS:GO was going to be cross-platform Xbox/PC, but it's not anymore.
http://www.eurogamer.net/articles/2011-08-26-ps3-cs-go-suppo...
The real danger for Valve is that people will release games for Metro instead of Steam, this is probably them trying to hedge against that.