How it actually works is more like:

1. User asks "What's the tallest building in the world?"

2. MS, rightfully, assumes that GPT has no idea what the answer to this is. And even if you trusted it to know, it will always lag behind and new buildings could have been built since then.

3. MS searches their index for the most relevant document snippets related to this query and feeds it to GPT as context.

4. MS asks GPT to answer the question in the context of those document snippets.

5. MS returns the result from GPT along with references to the documents it sourced the information from.

This is how the OpenAI /search endpoint used to work.