I'm not sure about the changes made with EFI booting, but for "classic" BIOS-mode booting, Windows does support multiple OS from its own bootloader. Check out info on the boot.ini (NTLDR). Heck, there's even a tool, EasyBCD, that will help you set up the booting options.
Of course, since most people that use desktops run only Windows, almost nobody has actually seen the Windows NT bootloader menu. Some of the people who used NT 3.51 or 4 might recognize it. In addition, since no consumer version of Windows until XP (the merge between the classic and NT codebases) supported multiboot, it's not a huge surprise that people don't know about this. That doesn't discount the practical issues too: editing boot.ini requires writing to an NTFS volume, which only really became possible on Linux with NTFS-3g, or you have to boot into Windows. If you were going to be using Linux primarily, it was much easier to just use lilo or grub for the bootloader.