Funny, I noticed this issue while testing Gears of War for Windows LIVE last week and thought I was missing something. Looks like it's a stupid bug:

Today is a great day for Windows gamers! Gears of War finally ships on Windows today, with full support for Games for Windows -- LIVE and, with Windows Vista, DirectX 10! The game retails for an MSRP of $49.99, and for that you get five new campaign chapters, a new “King of the Hill” multiplayer mode, three new multiplayer maps, a robust game editor, and incredible high-res graphics that take even the Xbox 360 visuals to the next generation. Plus, the game is packed with all the content previously released on the Xbox 360 – seven multiplayer maps and the “Annex” game mode.

You’re probably anxious to play, but wanted to let you know of a small problem (fortunately, with an easy fix). When you first play Gears of War for Windows, an automatic update to Games for Windows -- LIVE will be downloaded. But after the update is downloaded, you’re put back to the main menu of the game. If you don’t shut down the game, the update won’t complete. There’s two ways to get over this bump. The easiest is to simply shut down the game after the update is downloaded (you’ll know it’s safe because you’ll be back at the main menu, and not on the “Don’t shut down your PC while the update is being downloaded” screen). As soon as you close the game, the update will install automatically and you’re good to go. The second option is to manually install the latest Games for Windows -- LIVE update, which you can find here.

Related: My Gears of War for Windows LIVE Preview and Screenshots