MS salespeople presumably already have weekly or monthly meetings with all the people with check-cutting authority, and OpenAI doesn't. They're already an approved vendor, and what's more the Azure bill is already really really big, so a few more AI charges barely register.

It's the same reason you would use RDS at an AWS shop, even if you really like CloudSQL better.

This is the main reason the big cloud vendors are so well-positioned to suck up basically any surplus from any industry even vaguely shaped like a b2b SaaS.