What on earth are you talking about? There is no "excessive dependency of Microsoft systems on servers in the US", and even if there is typial consumers are not aware and do not care. And if they did what does server software have to do with end user OS choices?
I think it's the "servers in the US" part. I think Microsoft has plenty of servers outside the US. However the main point is not the location of the servers but the fact that Microsoft as the operating system / service provider is under the thumb of US law no matter where the servers happen to reside.
Which is, as you say, an issue of digital (data) sovereignty.
They care.
When the US government acts in an erratic, unreliable, and untrustworthy manner, large organisations naturally look to de-risk their infrastructure and supply chains by removing American products and services from them:
https://dub.uu.nl/en/news/can-dutch-universities-do-without-...
It's the same reason many countries don't want Chinese products in their telecommunications infrastructure. They don't trust what the Chinese government will do, or rather they do trust that the Chinese government will do things that aren't in their best interests:
What on earth are you talking about? Digital sovereignty is a growing concern, and Microsoft (as well as most corp/proprietary tech) is ever increasing online dependencies, to servers that they control. Even typical end users are starting to notice a bad smell.