Because it's Microsoft so people here are always looking for problems. I never seen anyone mentioning that XCode isn't open source. Or Sublime Text for that matter.
That's because those never were open source. Microsoft presented an open source editor, and an open source python language server, and an open source python checker, and then wants to replace those with closed source versions that you're not allowed to run anywhere else anymore.
And I'm sure you have other open source python language servers and open source python checkers for other open source editors. Nobody is locking you in here. Everyone is free to move to something else to write python.
That completely misses the point here... it's not about having a facility, it's about a change in direction that people don't like.