For me, the difference is how they go about doing it. The tracking Microsoft does is baked into the OS you use, for the sake of... well, not for seeing if people in your friends list also use Word or Teams.

Valve tracks a lot of data too, but also seems transparent about it. They show usercount, active players, it shows up for your Steam friends (if you want). And at the end of the day, they don't need to appeal to some shareholders. To me it feels like they track for the sake of their products, not for the sake of selling this data.

That said, I do think I'm pretty biased towards Valve in this, so I'm not sure how fair my view on it is

There's a lot to criticize about Valve but... Tracking? You can't be serious. They publish everything they track, so it's not like it's a secret or anything. Microsoft, on the other hand, is comparable to Google with the amount of data they try to collect, and God only knows to what extent they're going since the telemetry is the operating system.

If you wanna criticize Valve, look into the state of TF2 (an actively monetized game, filled with AI aimbots that make official servers unplayable), or what they took away from players with Counter-Strike """""2""""".