I'd be more surprised if this was the first time Microsoft did this.

I checked the download page[0] and next to the download button they say they will do this

>You will also receive in-app notifications with promotional offers from Microsoft

[0] https://www.bing.com/apps/wallpaper?pc=w011&brand=bing

> in-app notifications

I would not describe a full-screen wallpaper, that is, the entire functionality of the software, to be a "notification".