Microsoft does this because they're security scanning / checking all links in every Outlook email for known phishing and malware attacks. If Bing has not seen the web page before and it's not in the Bing dangerous web page index it first needs to check it to make a determination of if it's a phishing/malware page by scanning/indexing it before returning that outcome back to Outlook to flag the email as dangerous.
Wouldn't it be trivial to keep the list of malicious pages locally and not send any data?
If I were designing a system like this, I would not trust clients to perform legitimate analysis nor report legitimate results.