Your Windows SDK tag file will show up as a Compiler Tag file if you go to Tools > Tag Files...
For it to show up under the Symbols pane, it would need to be the active compiler tag file. To do that, go to Project > Project Properties > Compile/Link and select the Windows SDK tag file as your active compiler tag file for your project. Note that this option is configuration dependent, so you might have to change it for more than one configuration, depending on your project setup.
Symbols shows all tag files for all language modes. The only filtering done is adding in your workspace and project tag file, and the compiler tag files (and those only apply to C/C++ and Java at this time). You can trim things down by going to Tools > Tag Files... and removing some of the language specific tag files that you do not use, however, some of these are auto-generated when you are working in specific languages, so you can delete them, but they will come back.
We have not had many complaints about the Symbols tool window behaving this way, probably primarily because people don't use it all that much. The Defs tool window, Find Symbol tool window and Context Tagging(R) based symbol navigation are much more effective.