Let's say a French company would offer the same service in the US, swearing no data would be ever siphoned out of the US and no French intelligence service would be allowed to review the data. Would you be comfortable with your patient records being stored there or the business secrets of US companies?

Do you believe Microsoft can actually make the same promises and keep them? You don't have to answer the last question, of course, but please think about it. It doesn't matter where the LLM is located but who controls it and who holds the resulting data.