Yeah, since it's sending the URLs, Microsoft couldn't get to the actual images in question because they'd in a private network, behind a login, etc. If the images are hosting on a public domain or IP, that is not on Microsoft.
I think you've been brainwashed by modern storage services (S3) where the URL is essentially always public and out of your control. It's trivial to password protect an image when it's on your server. I would assume any medical provider would protect their images by checking the session and not serve them via AWS.
We need to move away from this model where others are in control of our private data to one where it's owned and controlled by us, giving access to service providers as needed.