It's a perfectly reasonable feature. For one, it's not just for Microsoft servers -- in an enterprise environment you can just have it stored on your companies AD servers, so if for any reason an employee forgets or loses their key the company can recover the data.
However, you're still missing a fundamental aspect of security, which is that it's targeted, not universal. Your system is not 'secure', it's 'secure against x', where x is your adversary. If your set of adversaries includes, say, someone losing their laptop at the airport, but not Microsoft, then storing your keys on MS servers loses you nothing and gains you ease of use.
