If you ever hear this argumnet then you need to say just two simple words, "Prove it." The reality is they can't. I was going to do a bit of research on this but there is nothing to research. Matter of fact when I did a web search at Google all I found was piracy hacks and methods to remove illegal copies of MS software.
Short run, no where in the MS EULA is there such a statement. Simply because said statement itself would be illegal under Federal Law. (IANAL but any good IP lawyer can prove this.) Do an internet search using a law search engine, nope not there.
This myth is not perpetuated by MS but they don't discourage it either. Truth is the myth is usually spewed out as a defense by MSCE types and other MS advocates to keep the status quo going. They fear change, and any inclusion of Linux, replacement of Windows by Linux etcetera is a definite change. They don't know Linux, don't use Linux and feel that Linux can never be a better alternative to the current MS offering.
I was looking for a way to defeat this mythy, lie. However, in this case the simple truth slices right through it. Just two words do it, "Prove it."