Perhaps they haven't gotten all of said data centers live yet and needed to use Azure and AWS as a temporary measure.

Perhaps they have a bunch of windows servers inside, but why windows.net?

windows.net is the root URL for all the Windows Azure storage services. Back in 2008, we knew that Windows Azure was going to have the 'Windows' part of it's name. Since Microsoft already owned windows.net, this made it an obvious choice. So we get blob.core.windows.net, database.windows.net, etc.