If someone has very personal or embarrassing questions, they might prefer not to go to someone that "knows them" in other ways. (In this case, by bludgeoning Windows users into to making a Microsoft Account to use their computer, and collecting "telemetry.")
And really, Copilot the chatbot on web and windows (specifying because there's too many Copilot products to count) kinda sucks anyway. Especially the free version. It's notably worse than chatgpt even though it's just chatgpt. Whatever they're doing it, they're screwing it up.
I don't understand why Microsoft is trying so hard to promote a service that isn't even theirs, but then again edge isn't actually their own browser either. It seems to be that getting the brand name out there is the main thing they care about.