To be clear, he wasn't walking about "the" Epic Games Store being on consoles as is. He was talking about how he would like to see alternative storefronts available on consoles where you could purchase digital content.
In this "dream scenario", none of the games on the current Epic Games Store would be compatible with an Xbox console, but Epic would be able to sell games, probably even exclusively in their own store. I'm guessing in this scenario Microsoft could still take a portion of the games sold on alternative storefronts, just as we currently see the response from Apple to the EU DMA.
Actually though, this would require quite a few pieces of the puzzle to work from a technical standpoint: there would need to be a way to allow games originating from alternative storefronts (whitelist alternative public key signatures), an SDK to allow publishing games and supply the alternative storefront with content, the alternative storefront would need to call as-of-yet nonexistent system APIs and Microsoft's online APIs, and so on. Sure, it's technically possible, but a huge bit of work. I see this statement as more of a general "we're open to where the market wants us to go to, including the possibility of alternative storefronts". I'm guessing they're talking about the possibilities and viability of these alternatives nowadays.