My girlfriend has a WP8 phone and a Windows 8 laptop, and uses Live for all her PIM stuff -- but there isn't any way to get Live Calendar tasks/to-dos on her desktop. It works on her phone though, so go figure, and it also works in the web app.
This is what frustrates me with Microsoft. They have cool features and neat applications, and the new integration across devices is awesome... but they miss these little details, and that ruins the experience quite a bit :(