In the most extreme case depending on how case law shakes out, the use of the models by a third party and distribution of the results will incur statutory damages for each work the model was trained on. This could bankrupt Microsoft for offering indemnification to even a tiny company, but as a response Microsoft could instead breach contract and not provide the indemnification. After the company goes bankrupt shareholders could only sue them for for the damages of not indemnifying you, limiting the liability to the size of the company that was sued into oblivion and not expanding out to unlimited liability for MS.

They probably have wording to prevent a mandatory injunction where you would compel the indemnification before the bankruptcy.