In order for Microsoft to rug-pull the technology (which is quite different from rug-pulling the business model), they'd have to break compatibility on Windows itself. Video games remain a major reason for home users to run Windows. Making ABI-breaking changes to Win32 or DirectX is just not very likely to happen. And if it did happen, it would be a boon to Valve and not a harm.
The biggest risk (and this would be a classic Microsoft move, to be fair) I can foresee is aggressive API changes that make it hard for Valve/Wine/Proton to keep up but also make it hard for game developers not to. I'm not exactly sure what this would look like, and a lot of the core technologies are pretty stable by now, but it's a possibility. It's not, however, going to harm anything that already exists.