I'm nowhere near that level but extrapolating from my experience and that of people I know: such abrupt departures are never amiable and are the tip of quite complex political junctures. As a human being, someone like Sinofsky is no longer hurt by lost income, but that's a blessing in disguise because his motivations were for a long time not of financial nature, which means he is hurting in other dimensions. Feelings such as hurt pride, poetic justice/revenge (they're worse off without me), rejection, are not uncommon. Given the abrupt departure, a general loss of meaning and occupation is quite likely (from the mornings of a busy executive to the long silence of the mornings to follow).
(As an aside, the reciprocal "good job" messaging is irrelevant - quitting in style is professional courtesy, costs nothing, and leaves bridges in place and doors open.)
In particular at Microsoft (drawing from discussions with friends), one common theme I gathered is "complex". Life at Microsoft is complex, rich in context, structured, full of details that employees consider important but find it very difficult to explain to the uninitiated. Even the vocabulary has additions and some words have unusually stronger semantics. I have friends who have been enormously stressed, lost sleep, literally developed clinical cases of depression - on stakes that, when explained to an outsider, appear as immensely petty. This is twice as bizarre in an industry that has a high inflation of jobs, which makes it very easy to leave Microsoft. But that's difficult because the nature of these conflicts and challenges makes the employees who are part of them feel they're losing self worth if they quit.
So I could speculate that leaving Microsoft has Sinofsky experience the most complex of emotions. However, it's likely he'll rebound and be off to other conquests soon.