According to segaretro.org the Dreamcast did actually run an "optimized" version of WinCE (painful acronym) with DirectX. Some games ran on top of it but most ran a different OS that actually booted off of the game disc.
It doesn’t by default boot to CE. It /is/ an option though. But it doesn’t boot it from an internal ROM.
CE was a very lightweight OS that was mostly nice for making it easier to port drivers and apps from one embedded system to another
Maybe Sega had some vague plans to turn the Dreamcast into a multipurpose family computer?
It had a ton of potential. The hardware is still fast enough to do basic browsing etc without issue if it had an updated browser.