This blows. I have contacted SiriusXM about this, and they don't seem to know what a Windows Phone is, nor did they seem to care. They have apps for iPhone, Android and even BlackBerry.
From looking around the net, it seems that for a lot of SiriusXM subscribers, the lack of an app is keeping them from switching to Windows Phone. If Microsoft realizes this, they will push SiriusXM -- that's probably the best path. In other words, since there is no other sat. radio provider, subscribers probably aren't going to leave SiriusXM for lack of a WP app...they WILL however choose another, supported, phone platform.
There is a suggestion open at Microsoft to put pressure on SiriusXM for an app...head over and vote for it:
Sirius XM Satellite radio App
Here is a