Why would they do that? Are they getting to much load on their servers or what?
There are multiple benefits to using bittorrent style downloads.
A few of the benefits include:
Faster downloads
Load Balancing/Lighter load on individual servers (as you mentioned)
Redundancy - if one node goes down, others are there to pick up the slack.
Cost savings - Microsoft pays for less traffic and storage than it would otherwise need to.
Most linux distros have used this method for a while now. It just makes more sense.