My theory is that Mac was born with a mouse while Windows (and Windows apps) originally had to function on machines that might not have one. Thus, keyboard navigablity was prioritized, and that design sensibility stuck around longer.
Microsoft took accessibility of Windows and apps as a basic requirement. The fact that Windows is the daily driver desktop for the staff of the regulatory agencies that would bring complaints would not have gone unnoticed.
But really, why wouldn't you? You almost get it for free if you use the standard widgets, and smooth keyboard navigation is far faster for experienced users than having to repeatedly move one's hand between keyboard and mouse.