Sort of. Despite the logo on the console, the BIOS/OS on the Dreamcast was in-house by SEGA. The Windows CE thing was an SDK developed my MS that was essentially a port of DirectX to the Dreamcast to give developers an option to utilize existing skillsets in DirectX in making games, or to make certain PC ports to Dreamcast easier. Sega still had their own SDK though that most games used.

However, rather than an on-system OS, the Windows CE had to be bundled on disk for each game that used it.