The Azure arm of MS will do everything they can to support this new, large customer. But the Xbox arm of the business still exists and that arm builds their own stuff and does not have the same costs that Sony will have.
In a future where each console is an app on your TV, where you go for your third party games matters arguably more than where you go for exclusives. One can quit the PS app and go to the Xbox app to play Fortnite 2, because the Xbox app offers something that would be too expensive for Sony to offer.
We don't know what it will mean yet for Sony to be a customer of Microsoft. Maybe Sony will be able to absorb the higher operating costs, obscure them from consumers. Maybe they won't. What we do know is that the Xbox product will have lower costs for Microsoft, as Microsoft owns what they are shipping. And that is all we know, and it is worth discussing. You know?
Having your own infrastructure doesn't erase initial investments neither the cost to maintain it and it doesn't predict the margin you will make on the final product. It's one parameter among dozen of others. Nadella has just chosen to favor the core business of his company, corporate software and services, over the symbol.