For starters, they can chose to enforce a non-compete agreement or not, they're not required to go after every ex-employee (it's not like upholding a trademark).

Secondly, by all accounts Elop took the position with the full blessing of Microsoft (conspiracy theorists will bring up the "trojan horse" as a reason, but it doesn't have to be that fantastical).

Thirdly, you could make a very good argument that Nokia is not a direct competitor to Microsoft. Microsoft doesn't make phones, they license a smartphone operating system. Nokia makes smartphones, which use two operating systems (one of which they don't own, the other of which they didn't own until very recently). I suppose they own Series 40, but that's not a smartphone operating system.