Do you believe Microsoft can actually make the same promises and keep them? You don't have to answer the last question, of course, but please think about it. It doesn't matter where the LLM is located but who controls it and who holds the resulting data.
"The CLOUD Act asserts that U.S. data and communication companies must provide stored data for a customer or subscriber on any server they own and operate when requested by warrant, but provides mechanisms for the companies or the courts to reject or challenge these if they believe the request violates the privacy rights of the foreign country the data is stored in."