No point really. It'd be more productive to learn how to use a processor and then choose Windows XP as the real-time operating system. Or you could just use Linux for the processor instead. But the valuable thing you'd be carrying away is how to use the processor.
I don't have any experience of embedded Linux or XP but if my experiences of their desktop counterparts are anything to go on, I'd assume that Windows is easier to deploy, on the other hand Linux is generally more reliable and is infinitely more flexible - being open source you can easily modify it to suit your needs.
windows xp and linux are operating systems. embedded is just a fancy term meaning they're running on something other than a desktop computer or server. usually embedded devices have no use interface or a very limited user interface, as well as limited IO abilities to connect with external peripherals.
the os that runs a ipod is "embedded" ... the iphone runs some sort of embedded OS-X unix
you could interpret embedded to mean the OS boots off something other than a mechanical disk drive. The linux OS in the linksys wrt54-gl router for example, boots off a flash ram chip.
their applications are simplistic, and usually single tasked. The ipod's OS manages the data stored on the hard drive, and provides an interface to read and write that data.
the linksys's OS manages several ethernet controller chips that provide wireless internet and firewall functions.