Yeah, what an odd decision. I did a lot of work on CE back in the day, and I'm not a pro game dev by any means, but I don't know what advantage it would offer over any SDK that abstracted the hardware a little
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?