There has never been anything wrong with playing Call of Duty on PC. Hell, the series got started there. But if you're looking at picking up or playing Infinite Warfare and the Call of Duty 4 remaster some time soon, you might like to know that it's really not worth playing through the Windows store.
The FAQ on Activision's support page for the Windows Store version of the page is a good illustration of some of the barriers still facing players who purchase through the Windows Store.
Namely, if you buy the game there, you won't be able to play with anyone who buys on Steam:
Can I play Call of Duty: Infinite Warfare or Call of Duty: Modern Warfare Remastered for Windows 10 on Windows Store with my friends that are playing on another PC platform?
No, you can only play these titles with other users of Windows 10 on Windows Store.
Call of Duty has already suffered from a dwindling player base on PC over the last few years. You'll always be able to get a game, provided you're happy to stick to Team Deathmatch, Free-For-All, and occasionally Kill Confirmed or Domination.
The fact that users have continued to stick with the older Modern Warfare titles hasn't helped. And when you consider how small the Windows Store footprint is (as evidenced by Quantum Break and Rise of the Tomb Raider earlier this year) in the first place, its a real issue for those (particularly in Australia) who buy on the Windows Store and hope to get regular multiplayer games.
The segregation, however, appears to be on the part of Activision. Windows Central quoted a Microsoft spokesperson who said that "We support cross-play between devices and platforms for partners who want to enable it". Meaning cross-play between the Windows Store and Steam works just fine, if the developer puts in the work.
But even though the situation around Infinite Warfare doesn't appear to be Microsoft's fault - since we don't know precisely how much work is required to get cross-play going between UWP apps and Steam - the end result is the same.
Why would you ever buy something through the Microsoft Store when you can have a much better, more sustainable and often a cheaper experience on Steam?