Firstly, Microsoft has shown that it cannot refrainfrom abusing its access to private data when it's not impartial. Microsoft has even threatened journalists.
Secondly, Microsoft doesn't have a clean record of security, and data in the hands of Microsoft has been compromised to unauthorized hackers.
Thirdly, when US law enforcement asks Microsoft for your data without a warrant Microsoft rolls over like an attention starved puppy and yields everything without challenges. (same as Amazon and AT&T. Google required legal warrants ten years ago.)
Fourthly, ChatGPT4 has used access to external means to fulfill testing tasks and it is capable of willfully lying to third parties to achieve steps. When Microsoft's AI offerings are smart enough, it will know who you are and everything about you (assuming Microsoft fails to mitigate for this eventuality).