Microsoft already ships cross-compilers (for ARM, for example) with VS. And Microsoft already ships dev tools for mobile platforms with VS (including mobile device emulators, etc.). Moreover, MonoTouch showed that this sort of thing (developing iPhone apps in C#, for example) is eminently possible.
From a technical perspective there are no serious roadblocks.
Now, whether or not this is actual news and not completely unsubstantiated rumor is an entirely different question.
You are uninformed about how the iPhone Simulator works. It is not, in fact, an emulator. It's simply a bunch of iPhone OS programs (SpringBoard, Safari, etc.) compiled against OSX and put in an iPhone-shaped screen. Your iPhone app is actually a userland Mac app compiled for x86.
So here's the problem: no amount of glue (short of shipping all of Snow Leopard for Windows) is going to get you an iPhone Simulator on the windows platform. It depends on OSX so deeply that you get weird behavior because of it (iPhone's accelerometer APIs are tied to your disk's accelerometer on the simulator, which is in the wrong orientation. Only your mac's built-in keyboard, not a USB keyboard, works in the simulator, because the iPhone uses really low-level keyboard APIs in OSX. etc.)
But they can't ship an emulator (or they would already have done so for OSX). Because except on very high-end systems, you're not going to emulate a 600-700mhz ARM plus their graphics chip. And obviously Silverlight & Co are firmly in the game development camp, where performance testing matters.
From a technical perspective there are no serious roadblocks.
Now, whether or not this is actual news and not completely unsubstantiated rumor is an entirely different question.