The many business risks of being 100% tied down to a single provider (Microsoft). Licensing is one, but also what would happen if Microsoft decided to kill off a service that your product depends on? You'd have to invest in finding an alternative and rewriting your software. Or what if Microsoft sells that service to another company which is actually directly competing with you, and then decides to stop providing third party access, or looks at your usage metrics/data to gain a competitive advantage over you. Or maybe Microsoft gets an incompetent CEO which drives the company to bankruptcy, and Windows and all their services you depend on are sold to hundreds of different companies which you now need to deal with.
Building your software on Linux or BSD means you don't have to worry about any of that since you own everything. It's like you're getting vertical integration for free. It's a no-brainer.
I don't disagree that MS could do any of what you mentioned but I'm not sure AWS/GCP etc wouldn't be as likely to as well.