Jamie Shotton and others at MSR were directly responsible for the pose detection software for Kinect. MS bought in the RGBD camera from outside, but did really good work on the software internally, using the talent at MSR. A great success story for the corporate lab model. I don't know how often things work out as well as that, as the labs must be enormously expensive!
I watched a really interesting talk about how XBox (and presumably the Xbox One) uses a technology they call TrueRank to do player matching. As far as I know this was an MSR project to create a Bayesian version of the ELO chess ranking system. Actually, now that I think of it, it was a whole week of ML talks by academics from MSR.
My point being, they produce (and ship) a lot of smaller innovations too, behind the scenes. Sometimes it's just detecting griefers.