Microsoft has had my phone number for a number of years... far back as 2004 at least.... and they've only ever called me for renewing my MSDN or TechNet subscription, or in conjunction with a support request that I initiated.
Anyways, you are signing up for a web hosting service. Them having your phone number could actually work in your favour, in the event that Microsoft detects that your site has been compromised and they need to contact you directly, ASAP. Plus if it's hosting for your business, well, ummm, isn't it a bit disingenuous to describe their asking for your business's phone number as a "brazen, shameless, intrusion into our personal lives"?
I mean, come on.... tone down the flaming BS just a little bit there.