Well, finally some progress.
After 4 months of emailing the Microsoft Privacy team trying to get a response, this came:
We apologize for the delay in our response. We were not able to locate any Windows 10 data associated with the email address x@xxxxxxx in our databases. If you are signed in to a different Microsoft account on your Windows 10 device(s), please provide the email address associated with that Microsoft account. We will then ask you to validate your ownership of that Microsoft account and search for any Windows 10 data associated with that Microsoft account.
So, I replied with the email address associated with my account. Then I got the following response:
Thank you for your response. You will need to authenticate your ownership of email@example.com before we can provide you with any data associated with that account. To that end, an authentication request email has been sent to firstname.lastname@example.org. Your request will be processed once we receive a response to that authentication request email.