From that link: “ In the end, Sega chose to go down a different route than what was originally planned - bundling simple operating systems within the discs themselves. Running games through Windows CE was still an option for developers, but most games used Sega's proprietary software instead. The limited adoption of Windows CE is often blamed on console programmers lacking the experience to deal with the OS, and a lack of advantages that Windows CE offered over the competition.”

It doesn’t by default boot to CE. It /is/ an option though. But it doesn’t boot it from an internal ROM.