It's because XAudio2 uses two separate audio engines for playing sounds on channels and for playing music.
Sound on channels uses a hand-written OGG loader which decompresses the OGG file to an XAudio2 buffer and plays it.
Music uses Window's built-in Directshow for playing audio - it has built-in MP3 support, but guess what, no OGG - unless you install a Directshow decoder for OGG, in which case XAudio2 can play OGGs as music too.