A Brazilian CA trusted only by Microsoft has issued a certificate for google.com

This is a bad look. I expected the result would be Chrome and Firefox dropping trust for this CA, but they already don't trust this CA. Arguably, Microsoft/Windows trusting a CA that the other big players choose not to trust is an even worse look for Microsoft.

What is even the point of a web CA that isn't trusted by all of the major players? Is there one?

These are generally government CAs, so, typically the situation is Microsoft sold the government Windows, and as part of that deal (at least tacitly) agreed to the CA being trusted, and so every system that's trusting these certificates is a Windows PC anyway, running Edge because the whole point was the government will only use Windows and pays Microsoft $$$.

Why bake it into everybody else's Windows? If you make say a Brazil Government-only Windows which trusts this CA instead, I guarantee somebody crucial in Brazil will buy a 3rd party Windows laptop independently and it doesn't work with this CA's certificates and that ends up as Microsoft's problem to fix, so, easier to just have every Windows device trust the CA.

They'll have an assurance from the CA that it won't do this sort of crap, and that's enough, plausible deniability. Microsoft will say they take this "very seriously" and do nothing and it'll blow over. After all this stuff happened before and it'll happen again, and Windows will remain very popular.

what's the state's interest in having their CA built into windows?

E.g. identity verification. My state has a "qualified" certificate that can be used to sign contracts and basically everything else you can do in-person. When you can transfer you home with that, there are higher requirements on checking the identity of a person who gets the certificate.

That CA is not used for much else and is basically confined to our state. But it has to be in Windows, otherwise no other software could verify the signatures.

See eIDAS and other similar schemes.