The rumor is that the music industries went along with iTunes precisely because it was Mac-only, and it had only 2% market share. Being paranoid about DRM, they felt that a Mac-only product was nice as an experimental platform that could be "contained", so to speak.
The emails show that Microsoft had tried and failed to get the same deal with the record companies. If you believe the rumor, then the reason is obvious. Going with Microsoft would've meant a worldwide launch -- letting the genie out of the bottle instantly. Also, don't forget that, at the time, companies were a lot more scared of Microsoft than they are today.
Ironically, Apple then came out with a Windows version two years later. And the iPod halo then lifted Mac sales. The music industry essentially handed Apple its success today, and got "tricked" into lowering prices and giving up a whole decade's business practices (bundling songs into CDs so you had to keep buying them over and over).