For starters they state that the Windows Phone Store is the exclusive distribution platform for Windows Phone apps, meaning that quality is ensured, not to mention that since it is being distributed by Microsoft, there are certain assurances one can take from it. They then state that every app is tested and certified by Microsoft to help weed out bad apps and malware that is disguised as an app, and lastly they claim that when malware is detected, they will remove it, which is more reactionary rather than preventive, but like they said, no system is perfect.
While having an exclusive app store and a team reviewing and certifying apps does help, you might recall it wasn’t too long ago that researchers managed to slip malware past Apple’s app review team, but once again, no system is perfect but it’s something worth taking note of.