Microsoft isn't going to be producing an OpenGL HLSL.
As for DirectX, there still isn't a way to compile HLSL at runtime.
But you're right, there's less of a reason to go for Cg when the developer is going exclusively for DirectX as an API.
As for OpenGL, GLSlang may end up being a better solution in the long term (since it compiles directly to the metal, not to an intermediate assembly standard).
"Physics is like sex. Sure, it may give some practical results, but that's not why we do it." - Richard P. Feynman