Certainly the Blacklight test show that Microsoft EU respect way more the privacy (forced by law) than Microsoft US.
Data sovereignty is going to be key to maintaining any sovereignity going forward, it’s so vital to the function of society and the economy that outsourcing it to another country is just giving part of yourself away.
Don’t give up sovereignity, even to allies! Alliances change, but even ignoring that, it’s akin to letting allies run your infrastructure or make your policies or own your water. It’s giving part of yourself away.
So, abandon the EU? Abandon the concept of the USA? My comment was tongue in cheek but deep cooperation can be a good thing. It’s part of the reason for the EU. Mutual dependency reduces the risk of war. Isolationism, like the USA is tending towards leads to more war.