No, you don't. You have to provide Microsoft (and anyone else, for that matter) a license to use your contribution per the CLA, but you still own your work. See section 5(a), https://opensource.microsoft.com/pdf/microsoft-contribution-....
All open-source licenses effectively require this; otherwise, by default, nobody would have a right to copy or use your contribution.
> give them a guarantee in case anyone sues microsoft over your work
I don't see an indemnification clause in the CLA. Which language are you referring to?
> (People sue without merit literally all the time and legal fees are bankruptcy material for any individual)
If they had even a shred of plausible belief, the estate of Elvis Presley could sue you tomorrow for defecating on a sofa at Graceland and potentially bankrupt you, even if you've never visited. What's your point?