Because in the 90's, Microsoft was everywhere, so every vendor for every embedded system component out there produced development kits and compilers and programming toolkits that would run on the machines their customers had handy. Which in the 90's meant Windows. I'll give you an example: Allen Bradley makes embedded controllers for industrial machinery. The controller itself runs VxWorks or RT Linux or QNX or some other real operating system. The develoment environment is Windows only, and a lot of third-party add-ons like graphical toolkits to make touch panel controls and the like are Windows only.
So my nice and high-tech and Linux-only system for doing the process control has to have a WinXP machine in there so that I can use my ten year old Allen Bradley controller which I can buy for 20k instead of developing from-scratch myself for 100-200k. Yeah. Real life imposes constraints.