Our company is very not OK with sharing IP with the cloud to the extent that we only recently started using github. So we're banned from using these things.
Microsoft has been in the corporate game for longer than most people on this site have been alive. They understand what corporate clients want, and which guarantees they require. And they go to great lengths to provide what they guarantee.
I use GitHub Copilot at work. We were (and still are) not allowed to use our private accounts, but recently got company accounts we are allowed to use on codebases classified "confidential" or lower. We also have an internal chat interface to OpenAI's models with a similar restriction. I understand there's some extra agreements with Microsoft regarding our data.
They're fine with cloud. But... I suppose most of our most sensitive documents are in Microsoft's SharePoint anyway. Effectively sharing our code with them via Copilot is actually comparatively less problematic.
Personally, my main gripe with it are the response times. But I'm a latency junkie.