Microsoft use to be on the OpenGL board (I believe in the 90s?). OpenGL was geared towards scientific development, and we know Bill Gates wanted PC to be gaming platform. OpenGL at the time wasn't good enough, nor were they willing to make the necessary changes to meet Microsoft's goals.

DirectX was born out of necessity, not proprietary greed.

Edit: Maybe its time to take another look at OpenGL - open is better than closed, especially for the multi-platform aspect. But does it have the same features as DirecX? Tesselation, shader programming, etc.