Providing a Windows App would be quite costly as it would in essence be a standalone app and the way/frequency that Microsoft are updating the OS will no doubt cause issues(i expect there to be several issues with the BT one and i wonder why they only support the BT Sport channels).
As with all decisions that companies take it comes down to is it commercially viable and for those companies that stream their entire service(or 90% of it)via the internet then it does make commercial sense,as Sky Go is simply a limited added bonus of Sky's main service it does not make commercial sense to have an app that will benefit a very small amount of customers.
As an early adopter of the Windows Mobile OS and a participant in the insider program i thought Windows 10 would have been a game changer and a true challenger to Android but alas it isn't and i don't think it ever will be,the only chance Microsoft have is if there is a sudden huge increase in Windows Phone sales and that is as likely as Sky dropping prices.