Nokia chose a new OS backed by the world's largest software developer that needs them as much as they need a new OS. They'll have the resources of Microsoft developing the OS while Nokia can concentrate on its hardware prowess. Nokia also gets to customize the OS and influence its future direction, which is like having your own OS except this one is ready to deploy and won't have R&D costs associated with it.
With Windows Phone 7, Microsoft took the Window CE kernel and built a tightly controlled and carefully managed environment around it. Microsoft also rigidly specifies what kind of devices OEMs can build. It must have three buttons, not four. WP7 currently supports just one CPU and one screen size. And WP7 is very much a greenfield site: a large number of features supported by the competition are also missing. The list is pretty daunting.