Microsoft earns money from games sold for their consoles, not for games sold on Windows. This explains why both Microsoft and Sony don't make it possible to transfer game progress etc. away from their platforms. Just because Microsoft comes with an Xbox app it doesn't mean there is suddenly systems in place for transfering player accounts away on old games away from the platform.
In short, it's irritating and bothersome to switch away from the Xbox and Playstation platforms on purpose, Microsoft and Sony earns too much money to just let people go easily - when you choose a console you choose a closed platform where you almost don't have any ownership of your data.