Remember the Windows "NSA Key" flip a few years ago. You think Microsoft DIDN'T add a key for the NSA now?
I suspect that, if Microsoft had covertly added a key to Windows on behalf of the NSA - or any other government agency, for that matter - it would not have been labelled as _NSAKEY. Suffice to say, if the NSA had subverted the security of Windows (which no longer seems entirely unreasonable), they would have done so in a rather more subtle manner.
The Wikipedia article provides more information on the issue.
"Live or die, I'll make a million." -- Reebus Kneebus, before his jump to the center of the earth, Firesign Theater