Even if you trust their intent to not misuse your data, there are now a lot of live rpc hooks into your operating system, controllable by anyone who can compromise their azure implementation, which has happened at least twice in recent memory. If the data never leaves your device, and they didn’t have a way in, they wouldn’t have those things to lose in the first place.

The interdependency itself, regardless of intent, is inherently more dangerous than the previous separate paradigm that used to exist.