I think you are misunderstanding here.

BitLocker is a full disk encryption system. Under the "device encryption" scheme discussed here, the recovery key is stored on Microsoft servers, but the content remains on the physical device.

I assume if a user was to backup their data using one of Microsoft's other services (e.g. OneDrive), that data would be encrypted under a different regime.

The BitLocker arrangement does provide users with some degree of security, in that an adversary would need access both to the physical device and the recovery keys on Microsoft servers to retrieve a user's data.