Valve gets a substantial cut. The present situation in windows isn't too relevant though ... if they had introduced a special fool proof fully Microsoft administered windows mode (similar to the windows media center front end, or the XBOX dashboard for that matter) with hardware DRM they would have had the toll both for the release of software for that mode and for access to the hardware DRM.
Valve only gets a cut on games sold through Steam. Microsoft gets a cut of the profits on XBox software that isn't even distributed via XBox Live.
There would be hell to pay if Microsoft tried to block you from running other PC software on a Windows machine.
The harm is that windows binds people to Microsoft in a much more intimate way than a console, some of the consumers of today will be making IT decisions tomorrow.
I don't know that this is true anymore. There is much, much more diffusion of computing use than there was before with a huge amount of people's time being spent on phones or on platform-based websites (e.g. Facebook). As someone who was in high school when the original XBox came out, the XBox brand had much more positive impact on my perception of Microsoft than Windows ever did (clearly this is anecdotal, was just speaking to my personal experience).
Your argument is essentially that MS would have done some radically different thing with Windows if they hadn't made the XBox. But the thing is, Microsoft didn't make the XBox to get into games. They made the XBox to get into set top boxes in a big way.
This gives MS two big platform footholds in consumer use, XBox and Windows. They're trying hard to get a third with Windows Phone 7 (we'll see how it pans out). The market for machine use is fracturing and MS clearly wants to have an integrated solution with platforms in all of those markets that play together nicely where those other devices eventually play really well with your Windows PC.
Also, it'd be a terrible idea for MS to hinge their entire competitive strategy with Mac on the tag line, "We have better games than them." If that's the only advantage you have, if people get fed up enough with Windows, they'll abandon it and get their games on consoles whether Xbox exists or not.
At least with XBox out there, you're seeing Microsoft's name all over the place when you're not sitting at your PC. And if they do their job right, you're having a good time when you see it.