Consoles are a single platform, making it easy to compile shaders when you only have one target.
On PCs, however, there are thousands of possible hardware combinations, making the task much more difficult.
On console you have it already compiled for that console by the devs. On PC you have to compile for your individual hardware yourself. I suspect the only reason MS are even pushing stuff like this only now is to reduce the pain for "xbox pc" when inevitably they will run into the same problem there.
On console you just download the precompiled shaders with the game. For PC you either compile the shaders at launch or on the fly when they occur. Pre-compiling shaders at launch has removed most of the issues - but it seems that some are still missed. Compiling them on the fly causes major hitching.
I don't understand how shaders actually work so I can't really give the technical reasons why all this exists.