I think it's gonna get there very soon. Steam on Xbox, and also Xbox on steam deck.
The only issue with the latter is Valve is using proton translation to bypass windows and make their own thing, it's a tremendously grey area that Microsoft has said NOTHING about, only because Steam is legit and game sale money go to publishers.
Imagine if Yuzu was legit and game sales still went to nintendo or 3rd parties, the tech behind proton and yuzu nce aren't dissimilar!
I'm guessing that they don't mean a legally grey area. I think they probably mean it's a grey area for Microsoft because Proton helps people get around needing Windows to play games made for Windows and Microsoft has an interest in keeping people on their OS.