???
Considering Sony sells a lot of Windows devices, they would also potentially benefit from someone playing a Sony produced game on a Sony PC. Especially considering that Sony PC products generally have a higher margin than other OEMs as they try to cater to a more affluent crowd.
People like to paint Sony and Microsoft as some kind of huge rivalry where they'll do anything to not benefit the other, but that just isn't true at all. It's a business. They are partners in some things and competitors in other things.
Games on PC would benefit both Sony and Microsoft. Hell, if Sony really wanted to, they could tie the games to their hardware like publishers and video card makers used to do back in the 90's such that it wouldn't run on a non-Sony PC (until the pirate hackers got to it, that is). I'd imagine the internet would explode if that happened though.
Hell, there's a Sony games division that almost exclusively makes games for the PC, although that looks to be changing with the PS4 with more projects being ported to PS4.
Regards,
SB
Under SOE just release the games using their station software.
Then sony can keep all the profits.