Microsoft, and any other would-be competitor, would essentially be committing suicide not to try to make up this data gap. If their toolbar is opt-in on the part of users, and you agree with me that my click history is mine to share with Microsoft if I so choose, this is helping consumers. Without some of this data, building a viable competitor to Google is impossible, and consumers do benefit from competition in web search.
Disclaimer: I work in Facebook search. Not the same thing as web search, and I don't really care whether Bing or Google "wins", though I'm temporarily rooting for Bing because as a user I want better, more competitive web search.