Though this can’t be said to be the first phone to have Windows in branding and we remember HTC One for Windows too. It is not that surprising though, as Microsoft has already made it clear that going forward there will be various SKUs of one unified Windows which will cater to desktop and tablet / smartphone separately. So, while Windows and Windows Phone SKUs may be still known as Windows 9 and Windows Phone 9, on device it will only branded as Windows.
Thanks Avhi for the tip. Cheers!!