> Why should MS in the US somehow respond to a request from police department in Cuxhafen in Germany?

If a non-US company does business in the US, most people would expect the business to also answer to US law enforcement. You can't just operate in a business and not follow the law of that country. Same applies the other way around, you do business as a US company in Germany, you better follow German law. Hence companies tend to have HQ in one country, and then subsidiaries in other countries, who know how the local market and laws work.