Microsoft is explicitly saying it's your responsibility to check if the Copilot's output that you add to your codebase is not infringing on anyone's license.
Also, it's actually a complex legal question if Copilot itself is infringing anyone's copyright. But, there is no doubt whatsoever that you don't have the right to distribute someone else's copyrighted code (without a license) just because it was produced by Copilot and not manually copied by you. And it is also very clear that Copilot can occasionally generate larger pieces of someone else's code.
Edit: fixed typos