According to Microsoft, Cortana will soon allow users to track notifications across Android devices and Cortana will also be able to help you respond to SMS messages from your PC as well. It sounds kind of like what you could do now with Pushbullet, but built directly into Windows. In general, Cortana could be getting more functionality with third-party apps because Microsoft will be releasing new APIs to let developers create commands.
The APIs and new Cortana functionality will be coming with the Windows 10 Anniversary Update which is due out this summer. In the meantime, if you want to be able to get Android notifications on your PC and respond to SMS, you can look into Pushbullet.
source: Android Central