For me, the difference is how they go about doing it. The tracking Microsoft does is baked into the OS you use, for the sake of... well, not for seeing if people in your friends list also use Word or Teams.

Valve tracks a lot of data too, but also seems transparent about it. They show usercount, active players, it shows up for your Steam friends (if you want). And at the end of the day, they don't need to appeal to some shareholders. To me it feels like they track for the sake of their products, not for the sake of selling this data.

That said, I do think I'm pretty biased towards Valve in this, so I'm not sure how fair my view on it is