So am I just missing something or could you create a network connection to the "outside" world (clearly by finding your way around the local network? Start fuzzing the router endpoint, Etc. Or is Microsoft able to provide these containers where their customers can get root access to them without them having any risk of exfiltration or exploitation?

The post mentions egress (outgoing) traffic being blocked. I assume the machine or VM hosting the container had iptables rules in place to enforce it.

Back when openai released python interpretation it was trivial to do what they did there. There was no open network access, the only thing of interest was a little insight in to how their developers program. A couple of internal configuration files.

This is literally the same.