Using a font was a convenient way to have scalable graphics.
It's not like Windows could've used VML or SVG since they hadn't been invented yet. EMFs would have been overkill as well. Fonts were very convenient because the technology to render scalable fonts already existed and was well-established. It's always good to build on something that has been proven, and TrueType scalable font technology proved itself very nicely in Windows 3.1. TrueType has the added benefit of supporting hinting, allowing tweaks to the glyph outlines to be made for particular pixel sizes. (A feature not available in most vector drawing languages, but also a feature very important when rendering at small font sizes.)