What incident are you referring to? I can think of a couple of possible ones:

1. PRISM, which is still a big question mark, and if it's in your threat model, then running Windows, let alone running Windows with an SSH server of any form, is not something you want to be doing, regardless of whether a particular library in it is open-source.

2. _NSAKEY, which MS had a decently convicing explanation of: it was a signing key used to indicate NSA-approved cryptographic providers (for FIPS-ish auditing), not anything that could be used to break into a user's account remotely.

3. The removal of the Elephant diffuser from BitLocker. My personal opinion is that all "diffusers", custom block cipher modes, etc. for full-disk encryption are pseudoscience; if you really want integrity protection, change your filesystem so it uses 4064-byte sectors, a 16-byte IV, and a 16-byte authentication tag. In any case, it still requires physical access to the disk to attack, so it's not particularly useful as an NSA back door (unless your threat model is one of the "then you have bigger problems" ones).

But maybe I'm forgetting something else?

http://rump2007.cr.yp.to/15-shumow.pdf

Always possible MS is not to be trusted, but there's nothing on the record to support that.

From the Snowden documents;

July 31, 2012

Microsoft (MS) began encrypting web-based chat with the introduction of the new outlook.com service. This new Secure Socket Layer (SSL) encryption effectively cut off collection of the new service for FAA 702 and likely 12333 (to some degree) for the Intelligence Community (IC). MS, working with the FBI, developed a surveillance capability to deal with the new SSL. These solutions were successfully tested and went live 12 Dec 2012.