Remedy seem to be quite happy working with Microsoft, and they were probably convinced that this would be the right time to launch a new IP. The thing with Remedy is they want to keep IP ownership. Microsoft lets their independent partners do that more often than not, whereas Sony, together with most other big publishers, almost never does (in fact, I can only remember a few downloadable titles where Sony didn't also grab the IP, along with publishing rights). Sony would also not let them publish the game on PC.
For what it's worth, Microsoft have supported Alan Wake well, they let Remedy release a PC port, published American Nightmare on XBLA (again, with a PC port following soon afterward), and made Alan Wake a part of their official 2010 holiday bundle. Alan Wake 2 will probably do better if it's released a few years from now, when Xbox One install base is larger, the game's (totally undeserved) mediocre scores have been largely forgotten, and the cult status solidified. A new live action Bright Falls series would also fit with Microsoft's broad entertainment aspirations.