So if they are browsing your website, decide they’ll probably purchase it, but then later they open up the Microsoft store and search for it there, you lose money you would’ve had if they’d immediately downloaded it from a link on your website?
Same if the customer thinks of buying your product at your own brand store, but then forgets, later they see it in a different store and buy it there. They pay the same RRP, but you see a smaller slice because the store keeps a cut.
Is this a problem? Not necessarily, if you're so sure customers would come back to your store then you can just refuse to sell it to other stores except as a retail product (so they couldn't afford to offer the same price as you)
It can be a problem if the store owner has some special privileges you don't have. Maybe they're the only one licensed to sell booze in the whole country. Or, take Apple, the only ones able to sell apps that actually work out of the box in an iPhone.
So far as I know, Microsoft aren't yet as abusive as Apple here. But I suppose that isn't helped by the fact that Microsoft's store isn't exactly a wild success.
If they visit your website but don't click the link, then there's no way for the Store to attribute the sale to your website, so you'll probably be charged full freight (15%).