I guess they had a porting job to do since the arcade hardware Sega Rally ran on wasn't Naomi(which was basically a souped up Dreamcast), and they figured if they used WindowsCE then they could use DirectX and get a PC port out of the same efforts.
But yeah, for a flagship title they should have went for a port with the official SDK.
The goal was to prove to third-party developers that it was trivial to port an existing Windows game to Dreamcast. It was sort of a tech demo for the industry.
The end result though was… demonstrating the Windows CE overhead.
Naomi games ported over to the Dreamcast just fine. It was essentially a Dreamcast with more memory if I'm not mistaken.
Sega Rally 2 used the Model 2 board.
But yeah, for a flagship title they should have went for a port with the official SDK.