2) By EU law, I have the right to get the information you store about me.
That's a qualified right.
1. Organisations can charge you a fee of up to 15EUR/10GBP for the request
2. Organisations outside of the EU (such as Microsoft US) do not have to comply with the EU directive
3. You have to submit your request in writing to Microsoft Headquarters addressed to Microsoft Legal for them to address the concern.
4. There is a blanket exemption for "publically accessible information" and "information already available to the requestor", such as the information you're asking for, so they don't even need to do anything.
So what I'm basically saying is that if you want help, it's usually better to start with "please", rather than threatening legal action.