They should, but then they’d be replaced by other US multinationals. So they won’t.
The EU (and not just the EU by the way) loves US tech. It can’t get enough. They both play a cat and mouse game with each other for the public but the EU aren’t going to force MS out and MS aren’t going to leave.
Put it another way, of the EU wanted to be principled and demand fairness for EU citizens they’d take away MS (and other US multinational’s) tax breaks via Dublin. But they’re not going to do that.