No they’re simply trying to emulate Google and Facebook by becoming data gatherers and hoarders. They’ve been jealous of how much data other companies have gathered about people, and then realized they could easily do the same.
I think you might be bit underestimating how much data Microsoft actually already has. They have just being better of keeping it to them self. MS from these three is the only one who is not an ad company, so they don't have to sell the data to 3rd parties to be profitable. They can just hoard the data, bit like Amazon+AWS.