This is a common issue with many hardware peripheral devices, but if your desktop computer contained some sort of hardware-level or OS-level backdoor, there would be a massive uproar.

I think either Snowden is incorrect in what he's talking about, or the NSA is doing something rather devious like hijacking the Windows update process or some other automated task to install malware, which they could only do with heavy cooperation from Microsoft. This would be rather risky though as it could certainly be detected.